The Late Show host was targeted by an internet jihadist last week, who posted an apparent threat on a website frequented by Al Qaeda members after taking offence at a joke made by Letterman about the death of an accused terrorist leader.
Letterman opened his Monday monologue by telling the audience they were "more than an audience tonight" before quipping: "You are more like a human shield!"
He went on to joke: "I'm so sorry I'm a little bit late coming out. Backstage I was talking to the guy from CBS, we were going through the CBS Life Insurance Policy to see if I was covered for jihad.
> David Letterman 'increases security after jihadist threat'
"You are not going to believe what happened. A radical extremist threatened to cut my tongue out… I wish I had a nickel for every time a guy has threatened to cut my tongue out. I think the first time was during the Academy Awards.
"Now state department authorities are looking into this. They aren't taking this lightly. They are questioning, interrogating, there is an electronic trail... But everybody knows it is [Jay] Leno."
Watch more of David Letterman's monologue below:
Letterman, who also presented a lengthy list of people who now hate him, poked fun at the threat in his Top 10 list, which was called: "Top Ten Thoughts That Went Through My Mind After Hearing About the Threat."
He said: "These are the exact thoughts because I jotted them down the minute I heard about the threat."
10. "Someone wants to silence me? Get in line."
9. "Nothing says summer fun like a death threat."
8. "Why is the staff in such a good mood?"
7. "Save me, Oprah."
6. "Should I wear my Kevlar hairpiece?"
5. "And here I thought nobody watches the show."
4. "How can someone be so angry at a time when Kim Kardashian is so happy?"
3. "Some people get Emmy nominations, some people get death threats."
2. "This seems like Leno's handiwork."
1. "Oh my God, they cancelled the George Lopez Show!"
Watch more of David Letterman's Top 10 list below:
The Late Show with David Letterman airs weeknights at 11.35/10.35pm c on CBS.