In an interview that David Duchovny did during the promotion for 'I Want To Believe,' he addressed the hate rumors by elaborating:
"When I left, it was a decision. I had to leave because of my time commitments — ten months out of every year shooting one show and not being able to do anything else in my life or my career. So it was never, “God damn, I hate this show. I can’t stand working with these people.” It was always, “Let’s stop the TV show now because we’re all tired.” And we’ve all worked longer than anybody’s ever worked on a drama together. You could say that there were dramas that went longer, but not a two-person drama that kept the same two people. E.R. is still on — this is amazing. But nobody’s the same. Law & Order changes all the time. All these shows change. We never changed. We did eight years of the same thing. I did eight years, Gillian did nine."
He has also said in previous interviews that he sees Mulder as his iconic role, and that he is always up for reprising the role in the form of a movie franchise, so I don't think there's any hate for the character. Rather, it had more to do with him feeling burnt out from the television series, confined to it for eight years...and, more specifically, ten months out of each year. Under such a demanding schedule, he was simply "tired" and wanted a change.