Letterman couldn't take it anymore and jokingly took off his jacket and exited the stage, thus reenacting Rivers' CNN storm-off.
Rivers, 81, took matters into her own hands and started interviewing herself.
During the Fashion Police host's CNN interview, she was asked about the fur she wears and some of her more controversial jokes. "I've made people laugh for 50 years, I am put on Earth to make people laugh. My book is funny. I wear fur that was killed 15 years ago, I work for animal rights," she responded. "You are not the one to interview a person who does humor. Sorry."