The 37-year-old American dancer and 30-year-old Australian dance pro introduced son Shai Aleksander on the ABC morning show Good Morning America.
"It's nerve-wracking because I, specifically, wanted to keep him very private from the beginning," Murgatroyd told anchor Paula Faris. "We just want to keep him for ourselves."
"I specifically wanted to keep him very private from the beginning because we wanted him to ourselves. I think he's so special that we wanted those moments, those first moments, to be for ourselves," Chmerkovskiy added.
The Dancing with the Stars pros welcomed Shai on Jan. 4. The new dad had shared similar sentiments about protecting his son's privacy in an Instagram post later in the month.
"It's been one week plus one day of my fatherhood and I'm the happiest person that's ever lived. I'm also feeling very protective and now understand what every parent in history have been going through for as long as humans have been giving birth," he wrote.
"I don't let too many people come see my son and I don't want to put any of him on social media yet. @petamugatroyd and I just want to enjoy our little family, together with our loved ones, and take in all the precious moments which we'll never get back," the star said.
Chmerkovskiy and Murgatroyd met as pros on Dancing with the Stars and got engaged in December 2015. The new mom told Good Morning America she is busy planning their wedding while also taking care of Shai.
"I'm just like, 'Whoa,'" she admitted. "It's a large wedding. It's going to be three days and 300 people, so it's a lot. I had a moment of, 'Should we put it on hold?' [Maksim] said, 'No way, baby, we're getting married.'"