According to eonline.com, the 41-year-old, who has two children Apple, 9, and Moses, 7, said: "Doing the lingerie striptease, I'm not sure exactly how you would classify that, but it was very embarrassing."
"I was not comfortable at all, but, you know, it was a good challenge for me to put myself in a situation that I would never be in in my own life. I'm not an exhibitionist like that," she added.
"Thanks For Sharing" tells the story of a woman named Phoebe, played by Paltrow, who is struggling with her boyfriend's sex addiction.
Mumbai Roundup: 9 incidents that took place this week
Photos: Ajay Devgn, Parineeti, Tabu at 'Golmaal Again' trailer launch
Photos: Dipika Pallikal Karthik oozes oomph in bikinis and sarees
Photos: Kareena Kapoor Khan's grand birthday bash
Photos: 'Dangal' girls Sanya Malhotra, Fatima Sana Shaikh's dinner outing