Short remembered Macdonald as a brilliant comedian.
"There was no one funnier," Short said.
Martin said he and Short have a tribute to comedians, including Macdonald, in their Hulu series Only Murders in the Building.
"We name different comedians, like Bob Newhart and people. And we do a tribute to Norm Macdonald, and we use one of his lines. We say ... 'There's only two categories of cliff diving -- grand champion and stuff on rock,'" Martin said.
Short also praised Macdonald's originality.
"I really think that in comedy, particularly, the originals stand out the most, and they stay with us long after they're gone," Short said. "And there was no one more original than Norm Macdonald."
"There was no one who did his style. There was no one who had his rhythms," he added. "He was remarkable and so kind and funny."
Macdonald died at age 61 on Sept. 14 following a private battle with cancer. David Letterman, Adam Sandler and Sarah Silverman were among the stars to pay tribute to Macdonald on social media following his death.
Short and Martin play Oliver Putnam and Charles-Haden Savage on Only Murders in the Building. The mystery-comedy series co-stars Selena Gomez and was renewed for a second season in September.