Perry and Shahidi were on the same team on Tuesday. The game, similar to charades, involves a buzzer being passed around as each team tries to get their partner to guess what they are describing or acting out.
After the buzzer ends, time is up and the team who was holding onto it last loses.
The filmmaker was competitive throughout and called into question the rules and how he kept losing due to the buzzer.
"You know what? You just make up the rules. It's your show, go ahead," Perry said.
Perry also sat down with Fallon to discuss the opening of his new studio, upcoming Netflix film A Fall from Grace, his career and how his mother pushed him to be successful.
"My mother was this incredible woman of faith and she would always push me to keep going," Perry said.
"That's why I tell people, 'If you give up now, you'll never know what the other side is' because everything on the planet, there's an opposite. Up, down. In, out. You know male, female. So the pain and suffering that you're going through, there's got to be an opposite. You just got to push to get to it," he continued.