"He just laughed at how many times I'm going to have to answer a question about it, and he wished he could watch every single answer," Rudd shared. "It's happening right now. Right before our very eyes."
As for how his wife thinks of the distinction, Rudd said she too laughed at his SMA title.
"She laughed, she was as shocked as I was," the 52-year-old actor revealed.
While countless co-stars including Alicia Silverstone and Jennifer Aniston shared their elation over Rudd being named this year's Sexiest Man Alive, Rudd brushed off their compliments, telling ET they were just doing what good friends do.
"They're just good friends. They're being very sweet," he maintained.
The real Sexiest Man Alive should be Murray, Rudd joked, who said he was "incredible" to work with in the sequel to the original Ghostbusters classic.
"The entire thing is just so incredible to be a part of it. I, like everybody, grew up watching this movie, and it's impossible not to when you're there in the flesh, and seeing all this stuff around you, with the props and the guys, and not just look back and go, 'Oh my gosh, how did I land here?' and appreciate it," Rudd said. "It becomes a part of my life in such a magical, cool way. I still can't believe it's kind of real."
Rudd talked more about working with Murray ahead of the film's premiere Monday night, saying "legendary" doesn't even cover the famed actor.
"Legendary doesn't even cover it," he gushed. "I'm such a huge Bill Murray fan," he gushed.