During her interview, the talk show host chatted about the "Heat" star's controversial ELLE cover in which Melissa dons a trench coat, fully covering her curves.
"I kind of wanted to look like the walk of shame," Miss McCarthy explained in regards to the wardrobe decision.
Jay then replied with some humor, "To guys that's the just got out of bed look, which is very sexy."
"That's what I was going for!" Melissa stated. "There was a big to-do about it, which kind of made me laugh. Like, how dare someone put me in a $3,000 coat. That's terrible!"
Although others thought the decision to cover her figure was wrong, the 43-year-old actress said that not only she was cool with the coat, but she was also the one that made the selection.
"I picked out the coat. I had a great little black dress on [underneath]. We live here in L.A. and I was like, 'I can't wait for fall I'm so sick of the hot weather.' So I was like, 'Is that cashmere?' So I ran upstairs and then jacket-gate started," she declared laughing.