"Jimmy, what do you want to talk about first?" Willard, 78, quipped as he took the stage Thursday.
"It's the last time I'm gonna listen to my wife when she says, 'Why don't you go out and see a movie?'" Willard said of Mary, his spouse of 40 years.
PBS fired Willard from its show "Market Warriors" last week after he was arrested at the Tiki Theater when police on a routine walk-through allegedly found him watching a pornographic movie with his penis exposed and in his hand.
"I see this one [theater]," Willard told Fallon. "It had such an exotic look to it. I thought maybe there's hula dancers in there. Maybe there's Mai Tais!"
"It's very embarrassing," Willard said. "It's embarrassing as hell! But let me say this: nothing happened. I did nothing wrong, everything's being sorted out as we speak. ... But it's very embarrassing. Very painful. And I'm trying to laugh it off. But my summary of the evening is that it's an interesting theater, boring movie, and a great place to take a nap."
Willard is best known for his work on the sitcom "Everybody Loves Raymond" and in writer-director Christopher Guest's mockumentaries "This is Spinal Tap," "Waiting for Guffman," "For Your Consideration," "Best in Show" and "A Mighty Wind." He is now host of the improv-comedy series "Trust Us with Your Life."