The stand-up comedian told Digital Spy that her sense of humour meant that Paul Hollywood was her favourite guest on The Sarah Millican Television Programme.
"I'd always found everything that he did filthy on the telly, even though it's just cooking," Millican said.
"I can pick up on an innuendo maybe when there's not even one there. It felt like there was a lot of scope for some fun with him.
"When he came on he played ball and he totally went with it."
Millican added that she has already written about half of the material for her next tour Home Bird despite still promoting her current set.
"I never want to put tickets on sale for something I've not even started writing... it feels wrong" she said.
"I'm always writing. I didn't do a new show this year, so I've been writing since September last year.
"Just scribbling away I've got a little notebook for every funny thought I have, and I do new material nights regularly."
Thoroughly Modern Millican is available on DVD now.
Watch the trailer for Sarah Millican's Thoroughly Modern Millican below.