In the end, viewers saw the detective famous for her knitted jumpers and stern demeanour flying away to an uncertain fate.
But the actress who played her says that although Lund survived, she will not be back and there will be no fourth series of the show.
Gråbøl said: "There is no chance it will come back. Definitely not.
"I definitely think that would be wrong, and it could only be embarrassing, I think.
"She was meant to die. And the reason why the writer decided not to kill her after all - and I think he was right about that - is that it is too easy.
"He said: 'I want her to suffer. I want her to lose everything and live with that.'
"So she lost her country and her family and her job.
"And I think that was right - she was exiled really."
She added: "To me, one of the things that we are most proud of is that we made you [in the UK] watch a show with subtitles."