Despite his remarkable year, Bradley Cooper still faced embarrassment.

While the first-time director and celebrated actor captivated audiences and launched Lady Gaga's film career with his critical darling, A Star Is Born, he was—for many—surprisingly snubbed of a Best Director Oscar nomination for this year's ceremony.

For Cooper, however, he felt more embarrassment than shock. "I was not surprised. I'm never surprised about not getting anything," he told Oprah Winfrey during a taping of Oprah's SuperSoul Conversations.

The star recalled how he had been in a coffee shop with a friend when someone had sent him a congratulatory text, but didn't tell him the "bad news."