The 50-year-old actor was in the capital to shoot some portions of the Maneesh Sharma-directed movie, which sees him in double roles as a superstar and his die-hard fan.
"Some films you never want to end. Making 'Fan' has been that emotion. It's sad that all good things have to end too... like Life Love & Laughter," Shah Rukh tweeted.
The movie, produced by Yash Raj Films, will hit theatres on April 15, 2016.
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