O'Brien famously succeeded the presenter as the host of The Tonight Show in 2009, but Leno returned to the late-night franchise after seven months of declining ratings.
Leno stepped down from The Tonight Show once again on Thursday (February 6) with a star-studded finale featuring Oprah Winfrey, Billy Crystal and Kim Kardashian.
His long-time rival O'Brien made light of Leno's second Tonight Show exit during his own Conan monologue last night.
"The Olympics start airing tonight on NBC. It's very cool. That's right, NBC has the Olympics. It's a big deal," O'Brien told his audience, adding: "NBC will finally get to show somebody who is okay with passing the torch."
He then quipped: "I allowed myself one, but it was a good one."
Fellow late-night hosts David Letterman and Arsenio Hall were more congratulatory in their comments about Leno.
"Congratulations on a wonderful run, and I'll tell you something - If I was Jay Leno and I was retiring? You know what I would do? I'd go out and buy myself a car," Letterman joked.
Hall said on his own show: "I can't believe he's going, because he's the crazy thing. Forget everything you've heard. He's number one. They're getting rid of the number one guy. It shows that the business is really changing.
"That's like Michael Jordan - He's the Michael Jordan of late night. That's like somebody saying, 'Hey Mike. Put your tongue back in your mouth and get out of here'. It's pretty crazy. But, we love him."
Leno's final Tonight Show achieved his highest ratings in five years.
He is handing over the NBC franchise to Jimmy Fallon.