Paul Shaffer also opens up about his state of mind days before Wednesday’s last show, and what he’ll do next.

After David Letterman tapes his final Late Show on Wednesday, he doesn’t think he’ll return to the show’s longtime home, the Ed Sullivan Theater.

“I don’t think I’ll ever be back in this building again. Honestly,” Letterman told Jane Pauley in an interview that will air this weekend on CBS Sunday Morning, which was previewed on Friday’s CBS This Morning. “I think it would just be too difficult for me…emotionally…because I just don’t want to come back and see others living our lives.”

Letterman added that he has an idea of what his life will be like after the show airs, but he indicated he doesn’t know what his professional life will be like, and hinted he’s not done with TV.

“I can tell you the kind of feelings and emotions that I hope will come of this. That I’m looking forward to and I think that will be fairly easy to accomplish. Getting back into television will perhaps not be as easy to accomplish,” he said.

As for Letterman’s longtime band leader Paul Shaffer, who appeared in person on CBS This Morning wearing his signature sunglasses, he insisted he won’t be sitting around the house. So what will he do next? As many different things as he can.

“I’m just going to keep on playing the piano. I think someone will let me,” Shaffer said. “I love to do all different things. I mean, David let me do comedy, improvise, act. I want to do all of those things, continue to do all of those things. Maybe a lovely three-episode arc on CSI: Miami.”

Shaffer praised Letterman, his colleague of 33 years, for being “the most incredible boss.”

Letterman gave him permission, Shaffer said, “If you have anything, I don’t care if it’s in the monologue, I don’t care if I’m interviewing Julia Roberts, jump in at any time. Who has an open mic for 33 years? I had that.”

Approaching the end of his long run with Letterman, Shaffer says he’s “gone through kind of the phases that one goes through when one is bereft,” but is now in a “very zen and calm place of gratitude.” [The Hollywood Reporter]