The 49-year-old star recently made an appearance on US chat show Late Show with David Letterman and said he was touched that he was invited on Letterman's birthday show.
The TV host said: 'I wouldn't have it any other way.'
Gervais added: 'I know that, it's quite obvious that I'm your favourite guest. I've seen the show, I see how you deal with other people. I'm thinking I'm your favourite because I think I'm the only one that you like.'
Letterman added: 'That's true, in all of showbusiness you're really the only one I can stand being near.'
To mark the TV host's birthday, Gervais brought him a picture of himself standing outside a pub in London that Letterman once visited.