Host Jimmy Fallon said: 'I heard that you are obsessed with moustaches.'
As she showed off a diamond necklace shaped like a 'tache, the former Disney starlet said: 'Yes. I have a diamond moustache with me at all times.
'I collect all kind of things with moustaches - pins, and mugs, and people.'
She then dived into a box of disguise moustaches that Fallon had waiting for her.
As she tried one particularly bushy one on, Miley, 18, joked: 'I'm sure I could [grow one] if I didn't have a make-up artist.'
Later, she played a game with Fallon in which she threw fish-shaped beanbags into a target.
Fallon fell to the floor after he was comprehensively beaten.
She will host US comedy sketch show Saturday Night Live this weekend.
She appeared on NBC's Late Night With Jimmy Fallon on Thursday night.