"I have to say, I've gotten used to playing roles and they're as real as anything in my real life. I'm not sure if that's an illness," he admits, with a cautious laugh.
This love of pretending to be someone else is what drew him in part to his latest TV role, playing DI John Bloom, a former undercover cop in ITV drama Identity.
"He's quite elusive and hard to pin down. He has a history, he liked what he did and finds it hard to let it go and go straight as it were," he explains.
"I liked the notion of someone that feels more comfortable pretending to be other people, because that's what I do."
The drama stars Keeley Hawes, fresh from the finale of BBC's Ashes To Ashes, as Bloom's boss DSI Martha Lawson, who heads up an identity crime unit. She takes a punt on Bloom because of his identity-swapping past, but he's a loose cannon in the team, especially because he keeps up his double life.
While Gillen speaks about his intricate role, he refers to his character as "I" rather than "he", which adds to the feeling that he somehow prefers being these other personas.
"The guy from the past life that we see, my other identity, is a guy called Brendan Shea, who spent a couple of years working for a Turkish heroin dynasty in north London and they become like your family.
"I feel very safe and comfortable, like I belong there, because I've never had another family or another life. We never get to see what I've been doing for the last 14 years, but whatever it was, I was happier playing these roles."
Gillen was born Aidan Murphy in Dublin and began his acting career in the Dublin Youth Theatre before he moved to London. He uses the surname of Gillen because someone else was already registered as Aidan Murphy in the Actors' Guild. Gillen is his mother's surname
"I did a number of plays from the age of 13 and then, when I was 17, I got my Equity card and started working professionally. But not until I was 19 or 20 did I feel that it was something that I wanted to do."
It was his role as Stuart Alan Jones in Russell T Davies's controversial late-1990s series Queer As Folk that propelled him into the mainstream.
And then came US hit The Wire, which saw him play ambitious Mayor of Baltimore Tommy Carcetti for three series from season three.
"The Wire was very successful in achieving what it set out to achieve, which was to be a thought-provoking essay on modern urban America made with a lot of trust in the audience's concentration which would be repaid over time," he says.
"Identity is a different thing, it's a six-part TV series that has to deliver something every week, but hopefully we will deliver a slick, smart, intriguing cop show."
But for all the success of The Wire, he admits he wouldn't rush out to the States for a long-running TV show again unless the project was right.
"I'm 42 and I've got two young kids, I just wouldn't do it. I'm living exactly where I want to live and doing pretty much what I want to do."
Home is in Kerry with children Berry and Joe, and wife Olivia O'Flanagan. "It's really beautiful, rural and rugged. I like not working, I like downtime, so I cycle around in the country, go camping, read books."
While most of his roles aren't exactly family-friendly, his children have seen some of his TV work.
"They sometimes think it's good and sometimes think it's embarrassing. They love film sets because there's free food!"
Since Identity, Gillen has been working "steadily" on a couple of films, the TV series Love/Hate and a two-part drama for Sky alongside David Morrissey called Sleepy Head And Scaredy Cat.
And the characters he plays are not always close to his heart. "Sometimes I really like just forgetting about them forever and cutting up scripts -- literally cutting them up with scissors and burning them.
"But then it's always interesting when you're on stage doing a play and it's the last performance and you're saying these words and you know you're never going to say them again."
Identity starts on ITV1 next Monday