Gregg said that he found out about Coulson's fate before taking part in the Thor panel at Comic-Con.
The actor recalled: "Joss Whedon comes over and said, 'Coulson's going to have a big part in The Avengers, can I introduce you as part of the cast?' It was officially the shortest decision-making period I've ever needed!
"Then there was an ominous call from Marvel about how important Coulson's role would be in this film. I loved playing this guy a lot, and when I got Joss's script it was one of the best days I've had as an actor.
"It's been a chain letter - different directors get this character and reveal another facet [to him], always entertaining.
"What Joss did, I thought, was magnificent. Because it's in the Marvel universe, I think of it as an extension rather than a definite resolution."
The Avengers is released in UK cinemas on April 26 (under the title Marvel Avengers Assemble) and on May 4 in the US.
Photo gallery: View the latest Avengers pictures below: