O'Reilly made the comment at the taping of Tuesday's edition of "The Tonight Show with Jay Leno."
Lohan, who has long battled drug and alcohol addiction, is in jail serving a 90-day sentence for violating her probation in a 2007 driving under the influence case.
Monroe died of a drug overdose in 1962.
When the audience began to laugh at Lohan's infamous mug shot as it was shown to them, NBC said in a news release O'Reilly remained tactful.
"You guys shouldn't be laughing at this," he said. "This is a woman who is on the Marilyn Monroe track. Monroe died at 36. (Lohan's) from Long Island where I'm from. Very talented actress, if you've seen her, she is talented, but she is very confused right now and she can't stay away from the substance abuse. So, if I were the judge I would have done exactly the same thing. Send her in, send a message.
"But this woman needs to be saved and I think we should stop with the tabloid stuff, stop enjoying this kind of stuff," O'Reilly said. "I think she's 24 years old, I think she's been exploited by her parents -- nothing worse, nothing worse on this earth than being exploited by your parents. And I just hope and I pray -- I do, I've said some prayers for her -- that she can get out of there, find somebody, somebody to basically say, 'Listen Lindsay, knock it off.'"
Lohan is expected to get an early release next week due to prison overcrowding.