"A lot of people are going through stuff like that, and it just helps to kind of hear a celebrity that's experiencing the same kind of things," Arquette said in an interview with The Associated Press on Wednesday.
Arquette, 39, and Cox, 46, confirmed their separation earlier this month after 11 years of marriage. They have one child.
Arquette, who starred in the "Scream" movies and "Never Been Kissed," has received some criticism for calling in to Howard Stern's radio show since going public about the split from Cox and revealing intimate details of their relationship, such as why they separated and what their sex life was like. Arquette most recently called in to Stern Wednesday morning.
He says his latest on-air chat with Stern was a scheduled appointment and he didn't want to break it. He also just wants to be honest with someone he trusts.
"I love Howard Stern," he said. "I think he's the most honest journalist out there. ... He's been so supportive of me and defended me. ... I didn't want to let him down."
Arquette said he realizes he's ruffled some feathers with his honesty: "I know I probably offend some people. I have been talking a little too much so I'm trying not to talk as much."
Arquette said one way he's been able to divert from the separation from Cox, star of the TV series "Friends" and "Cougar Town," is focusing on his professional career.
He's busy directing an episode of "CSI: Miami," acting in a short film about the mystery of Talladega Superspeedway called "The Legend of Hallowdega" and working on a live variety show at Hollywood's Roosevelt Hotel called "Beacher's Madhouse."
He also is getting ready for Halloween. He says he's thinking about dressing as Liberace, the late flamboyant pianist, while Cox will be a sunflower and their daughter, CoCo, will dress as a bumble bee.