The 68-year-old television personality and comedian discussed his rumored feud with Letterman during Tuesday's episode of Watch What Happens Live.
"The idea that we hate each other -- the media makes a big thing about it," he told host Andy Cohen. "I am a huge fan."
Leno said he and Letterman had different styles of performing and were able to learn from each other during their late-night television careers.
"You know, when I started, Letterman was a great wordsmith. He could put things together but he's kind of a hesitant performer," the star said.
"I was a very loud, boisterous performer but I wasn't that good a writer, so I watched him and go, 'Oh man, how do you put those sentences together?' and he watched me and said, 'How could he be so confident?'" he recalled. "So I think we took from each other a little bit."
Leno retired from The Tonight Show in 2009 after 17 years as host, while Letterman left The Late Show in 2015 after 12 years. Leno said he hasn't been asked to appear on Letterman's Netflix series, My Next Guest Needs No Introduction.
"I don't hear all the talk. I don't know. I mean, if somebody might be talking about it, I'm not aware of it," he said of the possibility.
Leno previously told The Hollywood Reporter he and Letterman have "a mutual admiration" for each other.
"It's not that we have a lot in common -- we don't -- but I think that we have a mutual admiration for each other's ability to make each other laugh," the star said in October 2017.