The former Metallica guitarist has reconnected with his old Bay Area buddies in recent years.
And Mustaine had started hanging out with fellow shredder Hanneman again – rekindling a friendship forged in the early 80s.
“I wasn’t really as close to Jeff as a lot of the other guys in the Big Four,” he told RUSHONROCK.
“We hung out a lot in the beginning but there was a period where we didn’t talk.
“Thankfully, at the end, we hung out a bit more and I’m grateful for that.”
Mustaine admitted Hanemman’s hard drinking had left the talented musician at the mercy of health problems.
And he added: “Everybody knew about Jeff’s problems. Although it wasn’t a surprise that he had liver damage it was a total shock when he passed away.
“I’m really sad about it.
“We have a very unique and private club in the Big Four and one of our brothers has gone.”
Mustaine, Hanneman, Anthrax’s Scott Ian and Metallica’s James Hetfield blazed a trail for thrash metal throughout the 80s with their no-holds-barred approach to fret-burning anarchy.
And Mustaine added: “Jeff was responsible for so many great songs and he was a very influential guitar player.
“The most important thing to remember is that we can’t take anything for granted.
“And if you do have differences then you have to be man enough to put them to one side.
“You never know when the reaper is coming for you.”
* Look out for a full and exclusive interview with Dave Mustaine here soon as the Megadeth main man opens up about songwriting, his polarising personality and stunning new album Super Collider.