Asked why he left the top-rated talent contest, Vazquez delivered one of Letterman's trademark lists (No. 7: "After seeing Michael Jackson, maybe I don't want to be a pop star") before abruptly dropping out after Reason No. 4.
He left the stage to laughs, never to return.
Earlier Tuesday, "Idol" producers said the show must go on without Vazquez, among the 12 finalists picked by viewers. He withdrew for undisclosed personal reasons and was replaced by Nikko Smith, son of Hall of Fame baseball player Ozzie Smith.
Executive producers Nigel Lythgoe and Ken Warwick said Vazquez explained his decision to them, but they told a news conference they intended to respect the singer's request for privacy.
Fox's hit talent contest, drawing close to 30 million viewers an episode in its fourth season, will weather the latest storm, Warwick said.
"It is a reality show. ... This show is never without drama," he told The Associated Press in an interview. "It's just one of those things that happens."
On Monday, Vazquez tried to extinguish some of the rumors circulating about him, including the possibility of skeletons in his closet.
"Crazy," he called that in an interview with the AP.
"My gut and intuition told me it wasn't time to do this," Vazquez said. "I had to focus on some personal areas in my life with the little bit of privacy that I have."
He declined to comment on whether he was unhappy with the "American Idol" contract he and the other contestants signed two weeks ago and which industry observers have called restrictive.
Warwick said it's his understanding that the performers are contractually bound for three months after the finale airs under their deal with 19 Television, which co-produces the show with Fremantle Media.
He had no further details on the arrangement, Warwick said.
Vazquez, a 27-year-old New Yorker, drew attention and votes with his smooth singing style and trademark hats, and his decision to quit "American Idol" took fans and fellow contestants by surprise.
He told the producers on Friday. There were tears when the other singers learned about it Saturday.
"They were pretty upset, obviously," said Warwick, adding that the pressure of the competition "binds them together."
Warwick recounted that Vazquez, however, was quite composed, telling his fellow performers: "It's not the end of the world."
The others regained their composure, he said, and Smith, 22, of St. Louis, who had narrowly missed making the final dozen, stepped quickly into the void left by Vazquez.