The 68-year-old is retiring after 31 years in the role with the record for longest-serving late night chat show host in TV history firmly under his belt.
Dave Grohl's rock group will help to see Letterman off in style, Rolling Stone reports. Foo Fighters have regularly appeared on the Late Show and held a residency last October to promote latest album Sonic Highways.
Letterman has often spoken of his love for the band, who performed on his first show after five weeks off for emergency bypass surgery following a heart attack in 2000. They played "Everlong", which Letterman introduced as his "favourite song".
Last year, Letterman told the audience that Foo's track "Miracle" was another song to have "great great meaning" for poignant reasons relating to his son.
Bob Dylan played a Frank Sinatra song on Letterman's penultimate Late Show episode last night, while Bill Murray popped out of a cake covered in cream as a surprise.Reuse content