The 33-year-old actress - who is currently pregnant with her first child - sought professional help to ensure she was still a "grounded" person after her career began to take off, but terminated the expensive sessions because she failed to see how they were helping her.
She said: "I was travelling so much, and I just needed to make sure I was grounded and had someone to talk to. She talked more than I did, which was hilarious and great and fun. I really like her. It was like having a girlfriend. But I`m not going to give her $300 an hour to have the same conversation I could have with my girlfriend."
The `Mad Men` actress - who has so far refused to disclose who the father of her baby is - also admitted it is difficult dating other people in the acting industry.
She told the new issue of Allure magazine: "It`s like, I`m sorry, I need to go away for three months and kiss other men while you stay here."
January also admitted she isn`t always careful with her diet because she feels she "deserves" to indulge in her favourite calorific treats.
She said: "I`ll stop at McDonald`s and get a strawberry shake and fries and not feel guilty at all, because I deserve it."