"You can't run in heels. It was ridiculous. So we went back to the flat shoes."
She said producers wanted Lund not to wear a jumper in the third series, but after two episodes they gave up.
"We couldn't escape having a jumper. Finding the jumper for the third series was traumatic. It took us ages to decide which one to have," she said.
The actress (44) also told how she regularly called strangers by accident in scenes where she talks on the phone. "I'm having to say my lines and I've got strangers going, 'Hello? Who is this?'" she said.
Grabol, who has described filming her last scene for The Killing as being like "a divorce ... a mix between great pain and great relief", said she would like to try out life on the other side of the police desk.
"My dream -- and I will never live it -- is to sit on the other side of the table in the interrogation room. It's so much easier for them.
"They get the question asked. When you're asking the questions, you jump all the time, and what they say doesn't prompt your next line," she said.
Meanwhile, The Killing's head writer Soren Sveistrup has said he would like to work on a new project set in London after The Killing.