The co-stars, who are also a couple in real life, appeared on Thursday's episode of The Late Show to talk about the final season of the spy drama. Colbert confessed that he's a little behind in the series because of all those "sexy" scenes.
"You guys are both sexy people, and you get sexy with each other and you have sexy times with other people on the show," he noted. "And I got kids at home and I'm embarrassed to be watching the show!"
"It's creepy," Russell agreed.
Rhys then recalled a "sexy" scene that even made him uncomfortable. "I think a highlight of the sixth season was when I had to burst in on [Keri] having sex with more than one person, with a gun, telling him to put his hands in the air," he quipped. "No acting involved on my behalf!"
Colbert joked, "I've got to catch up with season six evidently."
The 41-year-old actress said that she now has construction workers recognizing her for her Russian spy character, Elizabeth Jennings, but revealed that she still gets called out for the time Felicity Porter cut her hair.
Russell further confirmed that the pixie cut was actually Felicity creator J.J. Abrams' idea, to which Colbert suggested, "Do you think he should have to pay you $5 every time someone asks, 'Why did you cut your hair?'"
"We should definitely explore that," Russell replied.
"The show isn't even on the air yet. I'm not even on television and people want you to be in their magazine and it kind of it makes you feel almost a little bad because they don't even know if you're good, but everyone kind of wants a piece of you," she said. " I just hope everyone likes the show as much as I do."
The final season of The Americans premieres March 28 at 10 p.m. ET on FX.
In the meantime, check out ET's flashback interview with Russell: