The Late Show bandleader disclosed to TV Guide Canada that he is weighing up his options for when his deal runs out in two years.
"We've been on 30 years so now we've got another two years... I'm going to be certainly ready to lie down after that, take a nap," Shaffer admitted.
The musician continued: "But once again, life is nutty - anything can happen. I've been so lucky and blessed to be working this long in show business. And whatever happens now is just gravy to me."
Shaffer went on to express his gratitude to Letterman for teaching him so much about the entertainment industry.
"I learn from Letterman every night... I got a ringside seat, watching still the quickest guy in show business," he said. "The one thing I know about him is [he] doesn't like anything to be faked.
"He doesn't say you know, 'Let's pretend we're getting a call'. He hates that. He'll say to the audience, 'I'm getting a fake call now'. I think the audience appreciates that."
Shaffer has served as Letterman's bandleader dating back to their time on NBC's Late Night in the early 1980s.
He joined Letterman in making the move to CBS nearly 20 years ago.
Shaffer was also a Saturday Night Live castmember for the 1979-1980 season.
Watch David Letterman interview Paul Shaffer below: