The 75-year-old presenter and author hosted the series with her husband Richard Madeley for 13 years until 2001.
The duo co-founded the Richard and Judy Book Club and have returned to host the specials program in recent years.
she said Saga Magazine: “Richard and I presented This Morning for 13 years but I won’t be watching it anymore and won’t be appearing there to talk about my book.
“This is not a protest. It’s just a completely different show than when we did it.
“We interviewed people about books and it felt like there was a real interest there. I’m not sure that would be the case now.”
Finnigan released her latest book, Roseland, a romantic Cornish crime story, earlier this month.
Madeley hosted ITV1’s breakfast show Good Morning Britain and also appeared on This Morning in October to celebrate the show’s 35th anniversary.
Finnigan also spoke about the “extraordinary disaster” for the show, with both main presenters departing this year – Phillip Schofield in May and Holly Willoughby in October.
She added: “Phillip is not a close friend, but he is a friend and I have to admit I just can’t understand why he had to go.”
Phillip Schofield and Holly Willoughby both left This Morning in 2023
Schofield admitted an “unwise but not illegal” relationship with a younger male colleague on May 26 and resigned from ITV.
He previously resigned from This Morning on May 20 following reports of a falling out with Willoughby. He said at the time he was leaving so the show could “move on to a bright future.”
Finnigan also said: “There was a lot of discussion about why the show couldn’t work because Phillip and Holly were no longer good friends.”
“I couldn’t understand what I always thought was this unhealthy obsession with Holly and Phillip being friends. So for the program to work, they had to be so close.
“Shows and presenters don’t work like that… We (Judy and Richard) were married and therefore should be good friends. I just find the whole thing a shame and incredibly annoying.”
Willoughby left This Morning on October 10, saying it was “for me and my family”.