Given Letterman's penchant for poking fun at Christie's weight, the late show host wondered how the popular governor and potential presidential candidate felt about him.
"I love you, Dave, a love that I have a difficult time explaining," Christie replied, before pulling his own donut out of his suit pocket.
Christie added that didn't mind fat jokes as long as they're funny. He went on to read his favorite Letterman jokes, including, "A billion dollars will be spent on potato chips for Super Bowl Sunday, and that’s just at Governor Christie’s house."
Watch clips of the interview below: