The actor told O'Brien Monday that he purchased and runs a theater in his hometown of Malaga, Spain.
"Theater is beautiful because no matter how technology advances in the future, it's just about you and them. Nothing in the middle," Banderas said about performing in front of a live audience.
Banderas opened his theater with A Chorus Line and co-directed the project while also starring as Zack. The 59-year-old then showcased the choreography he learned with O'Brien following along.
"We are obliged by contract to do an hour and a half of warming up they call it, but it's real training every day before the performance," Banderas said.
"He did a very beautiful movie that actually connected with audiences practically all around the world. It was a beautiful experience," Banderas said.