"I'm 68. If I was 38, I'd probably still be wanting to do the show," he explained.
"When Jay [Leno] was on, I felt like Jay and I are contemporaries. Every time he would get a show at 11:30, he would succeed smartly. And so I thought, this is still viable—an older guy in a suit. And then he left, and I suddenly was surrounded by the Jimmys."
And with his final episode set to air on May 20, Letterman admits that he's "awash in melancholia."
"Every big change in my life was full of trepidation. When I left Indiana and moved to California. When Regina and I decided to have a baby—enormous anxiety and trepidation. Those are the two biggest things in my life, and they worked out beyond my wildest dreams. I'm pretending the same thing will happen now."
Letterman continued, "I'll miss it, desperately."
He also confessed that "one of two things" will occur after his days on Late Night come to an end.
"There will be reasonable, adult acceptance of transition. Or I will turn to a life of crime."
We're glad to see he is keeping his famous sense of humor!