The actor confessed he wasn't wearing any undies during his appearance on the US chat show on Tuesday due to an unfortunate chocolate-related mishap.
The Tinker, Tailor, Soldier, Spy star accidentally got his crotch covered in sticky brown liquid when he was shooting a bizarre Valentine's Day sketch dressed as a dolphin for the show earlier in the day, in which the chocolate fired out of his "blowhole" onto his pants.
Gary told Jimmy: "Right now I'm commando. Some of the volcanic coco is... my underwear is in the dressing room."
The host joked, "That's a nice gift for Valentine's Day, 'Honey, I dipped my underpants in chocolate' '', to which Gary replied, ''It looked like something else!"
The strange skit saw the 55-year-old actor dress up as Danny The Dolphin to recreate a mock "unique British Valentine's Day tradition", which saw him hand out marshmallows to a group of kids, who sang about how they visit the beach on the most romantic day of the year to hear him "screech".
Watch the skit here:
Gary also revealed during his interview that he turned to acting after his ambitions to become a professional soccer star were dashed because of his weakness for the opposite sex.
He admitted: "I was a football guy. I did play for the county - it was kind of what I was going to do, I was pretty good at it.
"Two things [ruined it]. I grew a couple of inches, I was quite small and fast. [Then] the balance wasn't the same. And girls, I got distracted by girls."
Watch part of his interview here: