"I think the interesting thing about it was that I always thought, 'We're so boring. We should be in the tabloids more. C'mon honey, let's have a scandal,'" the 43-year-old actress said.
"Well, it wasn't the truth that we were destroyed," Sedgwick said in a recent conference call from New York. "And I think when you say 'no comment,' that's, of course, where they're going to go, because it's fun and it grabs headlines and people will be more interested."
"It's been really unpleasant and makes you feel really vulnerable. But the fact of the matter is that we did not lose everything," she said. "We lost hard-earned money that we worked very hard for that was what we thought in a safe place. It's painful but a lot of people lost a lot more. And we have a lot of things to be grateful for in our life, and we never ever forget that."
Sedgwick, who was recently honored with a star on the Hollywood Walk of Fame, has a cross-country commute between Los Angeles, where her TNT series, "The Closer," is filmed, and her family home in Manhattan.
"Every year I think, 'It's going to be easier this year,' and it's actually harder," she said of the commute. "You know, you miss things. You miss moments. And, as a mother, that's hard. It's challenging."
Sedgwick said she and Bacon - and especially daughter Sosie - are excited that Chace Crawford has been cast as the lead in the remake of "Footloose." The "Gossip Girl" actor will reprise the role that made Bacon, 50, a heartthrob in 1984.
"Well, yeah, pretty big shoes to fill," Sedgwick said. "But, actually, I think it's great. I think he's adorable."
TNT is owned by Time Warner Inc.
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Copyright 2009 The Associated Press.