Schumer's appearance on The Daily Show aired hours after she held a press conference in New York City with her cousin, New York Sen. Chuck Schumer, calling for stricter gun control laws.
The shooter who opened fire in the Lafayette, La., movie theater last month killed two women and injured nine other people before killing himself.
"I had a lot of missed calls, so I assumed, like, there was a sex tape of me out or something," Schumer quipped, recalling how she got the news. "And then to hear that news, it broke my heart. It was so horrible."
Watch Schumer's full Daily Show interview here: