O'Brien broke the news to his studio audience on Monday, but 24 hours later, he was able to better collect his thoughts and share a surprising story about how Williams, who O'Brien did not know well, gave him the gift of a bicycle after the cancellation of "The Tonight Show."
"He's the first person to buy me a bicycle since my parents bought me a bicycle -- when I was 35," O'Brien joked.
He described the bicycle as looking quite ridiculous. Andy Richter said "It looked like a Mardi Gras parade." It was bright orange, bright green and had shamrocks on it.
O'Brien then related the glee that Williams had in picturing the late night host riding such a ridiculous bike.
"Best talk show guest in the world," O'Brien said after a clip package of Williams' various appearances on "Late Night" and "The Tonight Show."
While Fallon didn't have any personal anecdotes about his time with Williams, he did have an amazing impression of the comedians' stand-up style, which he related to the audience briefly before surprising them with a clip of Williams' very first appearance on "The Tonight Show" with Johnny Carson.
Even then, Williams' anarchic spirit was on full display, as he took over the show, bounding out of his chair and heading into the audience.
But perhaps most touchingly, Fallon climbed up on his desk and said, "O captain, my captain, you will be missed," a reference to Williams' acclaimed role in the 1989 film "Dead Poets Society."