The 50-year-old actor memorably appeared on the 78-year-old broadcaster's talk show in 2009 to promote Two Lovers while in character for his mockumentary I'm Still Here - for which he had publicly announced he was giving up acting to focus on a hip-hop career - and he admitted he felt "stuck" because of his commitment to the project.
Appearing on The Late Show, which is now hosted by Stephen Colbert, this week, Phoenix recalled: "It was strange, because in some ways it was a success and it was also just one of the worst nights of my life.
"As part of the promotion for a film that I had made, I was coming on the show, and so I was stuck."
Noting he had begun adopting his hip-hop persona ahead of promoting Two Lovers, he said: "I had to keep it going.
"When I came on the show with Dave, I originally did the pre-interview in character, and I realised that it was just a little silly.
"So I called them back and I said, 'Listen, this is what I'm doing. I'm coming out here and I'm doing this whole thing. I just want Dave to like lacerate me, I just want it to be really dangerous.'"
The Oscar-winning star said: "It was horrible, it was so uncomfortable, I regret it. I'll never do it again. I'm so sorry."Â
When Colbert noted he was unsure if Letterman would be tuning in, his guest said: "He might be, and I just need to say I'm sorry."
After the 2009 appearance, the Eddington star returned one more time for a follow-up interview with Letterman in 2010.
He quipped to Colbert: "I imagine they did like a major exorcism after I left."
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