"It was such a shock and you deal with it. It's life and it happens to everybody one way or another, but when somebody passes that's special and you love, it hurts," she added. "So, that's what I feel about that. We'll miss him a lot."
Hawn and Shandling starred as husband and wife in 2001's Town and Country, which also featured Warren Beatty and Diane Keaton.
Many in Hollywood have been mourning Shandling's unexpected death. Better Call Saul star Bob Odenkirk spent time with the comedy legend just four days ago, and he released a heartfelt statement to ET about his friend.
"Garry was a guiding voice of comedy," Odenkirk said. "He set the standard, and we're all still trying to meet it. He gave us all opportunities to learn how to do the best work of our lives. But, more importantly, as I knew him these last few years, he was a person who never stopped trying to be a better person. That's yet another way he inspired me, and I'm sure many others who knew him."
Others took to social media to share their condolences, including Kathy Griffin, who was with Shandling and Odenkirk on Sunday.
"Sunday, my longtime friend Garry Shandling was here, making everyone laugh," she wrote. "I loved him. I'll miss our talks the most."
Sunday, my longtime friend Garry Shandling was here, making every1 laugh. I loved him. I'll miss our talks the most. pic.twitter.com/Ud8AQXNBXN