The show this week was hosted by Daniel Craig -- along with musical guest The Weeknd -- and featured guest appearances and cameos from Elizabeth Warren and Rachel Dratch. However, Davidson was nowhere to be seen.
Davidson has missed episodes this season due to a conflicting shooting schedule with his role in The Suicide Squad. However, Davidson didn't appear in any live sketches or pre-taped sketches, nor did he take part in the show's sign-off.
Davidson appeared in a few sketches during last week's episode, alongside his friend John Mulaney, who was the night's guest host. However, a source told ET that he skipped out on the show's after-party, and many speculated that it might have something to do with comments he made during an interview with Charlamagne Tha God, which was posted on YouTube late last month.
In a lengthy, candid hour-long sit-down, Davidson admitted he believes his cast mates think he's “f**king dumb," and said he feels his time on the series might be coming to an end.
"It’s a hard thing to do 'cause you don’t want to ever pull the trigger too early," he said about working on the series. "But everybody's always been like, 'You'll know when you know and it'll be all right.' I personally think I should be done with that show because they make fun of me on it."
"It's like, ‘Whose side are you on?'" he added. "I have a weird feeling in that building, where I don't know whose team they're playing for -- if I'm the joke or I'm in on the joke."
Although he praised the show’s creator and producer, Lorne Michaels, Davidson described the environment on set as cutthroat and said that instead of a "loving, caring" feel, "They don't give a f**k, at the end of the day."
The source told ET that Davidson's absence from the after-party was the topic of "a lot of conversation" during the event, which was held at L'Avenue at Saks and Le Chalet, the restaurant's lower level cocktail lounge in New York City.
Check out the video below for more on Davidson.