"I got a death threat. Someone wanted to shoot me in the face because she's so hot," Davidson told host Howard Stern. "Do you know how insane that is?"
"I was like, 'Am I that ugly that people want to shoot me in the face?'" he said. "Like, what did I do?"
The Saturday Night Live star said he is no longer on social media because of the negativity.
"I can't ... It makes me feel weird about myself," the actor said. "Whenever I think of something, like, if I post something I like and people just [expletive] all over it. I'm like, you're asking for it."
"If you want to find bad stuff about yourself, you can very easily. I'm able to let it bounce off, but I think it would bother anybody," he added. "I want to beat everybody up, but you can't."
Davidson described his relationship with Grande as "the weirdest, coolest thing that's ever happened."
"I just think we are supposed to be together," he said.
Davidson and Grande confirmed their engagement in June after a few weeks of dating. Davidson later told Variety he proposed during a quiet moment in bed.