At the time of The Affair and its first episode, it is assumed that Cole Lockhart is still alive and out there; unfortunately, you don’t see him.Meanwhile, once you get around to the future timeline, the older version of Joanie claims that she misses her father. Cole Lockhart is the prodigal son of a large, boisterous family who has lived in Montauk for generations. 'The Affair' series finale: Why didn't Joshua Jackson return to reprise his role as Cole Lockhart during Season 5? 'The Affair' recap: Season 5, Episode 4 reveals what happened to Cole Lockhart, played by former series regular Joshua Jackson. He is equally distraught over the loss of his son, but unlike Alison, he desires to keep their relationship alive. Alison's affair is extremely painful for Cole, but he continues to carry a torch for her long after it destroys their marriage. EP Sarah Treem explains.