The comedian confirmed the news during his Wednesday appearance on "The Late Show with David Letterman," which airs on CBS, one of NBC's many rival networks. Classy. The talk show's official Twitter account sent out a tweet Tuesday blasting the news and linking to the teaser for the Wednesday evening episode. PHOTOS: 13 memorable 'SNL' stars Sudeikis is the latest in a long line of comedians who have left the sketch comedy showcase. Last year, favorites Kristen Wiig and Andy Samberg made their exits. In May, eight-year vet Bill Hader announced he would be leaving as well. Sometime next year, "Weekend Update" anchor and head writer Seth Meyers is expected to depart to take over "Late Night" from "SNL" alum Jimmy Fallon, who's taking over for Jay Leno on "The Tonight Show." Sudeikis appeared on Letterman's talk show Wednesday to promote his Aug. 7 comedy "We're the Millers," costarring Jennifer Aniston and Emma Roberts. But the host was keen to ask him about the other big job on his resume: "SNL." Now, how many years have you been regularly employed at 'Saturday Night Live?' Regularly? Sudeikis asked. If you could call it regularly employed, 10 years. Ten years, yeah, yeah. The comedian, who is engaged to actress Olivia Wilde, has indeed worked on the sketch series for a decade. He started off on the long-running NBC show in 2003 as a writer. He took on a few on-camera roles in 2005 then joined up as a cast regular in 2006. Sudeikis told Letterman that Meyers has been on the show the longest, and that Kenan Thompson joined the cast soon after he himself started there as a writer. And how long will a person continue with this, you suppose? Letterman prodded. A person in general, or me specifically? Sudeikis asked to audience laughter. Whatever you like. Either way or both. Well, I mean, a person can go as long as they want. I mean, Lorne [Michaels] has been kicking butt at it for 33 out of the 38 years, you know. But me, yeah, no, I'm definitely done. And there it is. Cue the "Awwws" from the audience. You're leaving?" the host asked. Yeah, I'm going to leave. Yeah, I'm not coming back next fall," Sudeikis replied, confirming the news. Now, do they know that? I mean, have you run this by someone? Letterman asked in that mock, father-knows-best way of his. "I don't know what kind of ratings you're getting these days, but, I mean, you know, I would hope someone would, you know, would tell them after this point, yeah," the comedian quipped. "No, you should have called first," Letterman laughed. "I should have, right?" he replied. Uh, awkward much? The pair continued the conversation back and forth with Sudeikis explaining that he still wasn't planning on going back after "SNL's" summer break. You start to get that itch probably in August, where all these sketch ideas will show up and I'll be like, 'Well, can I make this sketch idea last 90 minutes and turn it into a movie!?' Probably not, yeah. Well, so congratulations on a great career over there.... Good for you," Letterman said, with the audience breaking out in applause. No, it's been fantastic, yeah. It's been really, really amazing, yeah. I was very, very lucky. Nice save, yeah? What do you think of Sudeikis' exit?