"I feel like, for me personally, I've lost two people: Cory and Finn," she said ahead of the musical TV show's tribute episode in honour of Cory.
"We had a beautiful memorial for Cory in the auditorium and some of the cast members sang and people spoke about him," the 27-year-old actress told TV WEEK Australia. "It only felt right that we would do the same thing for Finn, so I felt it was very therapeutic."
She spoke of her return to the small screen just weeks after Cory's untimely death following a drug and alcohol overdose in mid-July.
"Everyone is asking: 'Is it hard to do this? Is it hard to be back at work?', but the truth is it's no harder at work than it is in life so we might as well all be together as a family supporting each other to get through this together."
The preview clip of the episode, which airs in the US on 10 October, shows the cast creating a memorial for Finn Hudson while a tearful Lea sings the moving Bob Dylan track Make You Feel My Love in the background.
Lea revealed that she hadn't yet seen the show but described it as "perfect" and "something we all needed to do together."
She also spoke of her relationship with the troubled actor who she stood by during treatment for his addictions.
"I really woke up every single day feeling like I was … in some sort of spell or something, that I was lucky enough to have him in my life," she said. "There was no greater man than Cory, so for the time we spent together, I consider myself very lucky."
Creator Ryan Murphy spoke about the special episode last week: "I locked [the episode] today. It was incredibly difficult to work on. It was very difficult to shoot."
"I mean, the interesting thing about that show is that those actors and the creators really, really loved Cory," he added. "The episode is called The Quarterback, and you know Cory really was that, to that group of people and to me particularly. There was nobody on that crew that did not like Cory."
"I've never seen a crew that you can't continue shooting because they've left the room sobbing. It was very hard...It was rough. It was very rough. It was very rough with Lea Michele... but I'm very proud of it.
"I think the performances are quite stunning. People still are not over it. It's still very, very difficult."
The episode which airs on 10 October on Fox includes several ex-cast members including Amber Riley who plays Mercedes and Mark Salling who plays Puck.