The 38-year-old singer performed the "slow jam" during Wednesday's episode of the CBS late-night show.
"On the Moon" appears on Lambert's most recent album, Velvet, released in March.
"This on the album is sort of the slow jam, the baby-making music, even though I'm not going to be making any babies anytime soon," Lambert said of "On the Moon."
"JinJoo, my guitarist, and I, decided to just do it as a stripped-down, acoustic version. Kind of went a little jazz; you know, I had some white wine and was feeling good," he added of the performance.
During the interview, Lambert discussed his Feel Something Foundation, which he launched in late 2019.
"The focus of the organization is the LGBTQ community. I want to focus on homelessness, on mental health issues, and I want to do some outreach in the arts as well," he said.
"Obviously, there's been a lot of people affected by these arrests, but queer people in particular, especially trans people of color, have a really risky time being in police custody," he said. "So that was something that we were really, really focused on. We want to help."
In addition to his solo music, Lambert performs with Queen + Adam Lambert.