NEW YORK — David Letterman mixed both humor and a serious tone on Thursday's "Late Show" as he discussed being the victim of a $2 million extortion plot centered on his sexual relations with female members of his staff.

"This morning, I did something I've never done in my life," the 62-year-old host told his studio audience. "I had to go downtown and testify before a grand jury."

"I was worried for myself, I was worried for my family," he continued. "I felt menaced by this, and I had to tell them all of the creepy things that I had done ... The creepy stuff was that I have had sex with women who work for me on this show. My response to that is, yes I have. Would it be embarrassing if it were made public? Perhaps it would."

Watch David Letterman's stunning confession on the "Late Show."