"You can't take down a bad guy prematurely because then you foil your mission," he says. "Anson is the creepiest of the creepy creeps ... but we've got to get information from him before we take him down."
In the midst of Season 5, Campbell says people are finally starting to recognize him as the former Navy SEAL on the USA drama rather than the character he's most well-known for: Evil Dead's Ash.
"I'm sure when [Burn Notice] goes off the air I'll go back to making low budget sci-fi movies — and that's OK, too," he jokes.
Watch our interview with Campbell:
Burn Notice airs Thursdays at 10/9c on USA.