Former FBI Director James Comey said Tuesday he was “surprised” President Trump fired him, admitting to late-night host Stephen Colbert he thought investigating the president made him untouchable.

“I was quite surprised,” Comey said. “Because I thought, ‘I’m leading the Russia investigation.’ Even though our relationship was becoming strained, there’s no way I’m going to get fired, or whacked.” (Colbert had been joking with him that Trump is like a mob boss.)

“Why wouldn’t you get fired?” Colbert pressed.

“Because that would be a crazy thing to do,” Comey said. “Why would you fire the FBI director who’s leading the Russia investigation?”

Comey was on the show to promote his new memoir, “A Higher Loyalty,” in which he presents himself as a moral hero at the FBI and bashes Trump as “unfit” for the presidency, in addition to insulting Trump’s hair color and commenting on his hand size.

Trump fired Comey in May at the recommendation of Deputy Attorney General Rod Rosenstein, who found the FBI director had mishandled the Hillary Clinton email investigation. Trump later said he was thinking about that “Russia thing” when he made the call, that it was a political witch hunt and he planned to fire Comey either way.

Comey was leading the investigation into Russia meddling at the time, and his remarks to Colbert make it clear he believed investigating the president made his job safe. He famously kept memos of his interactions with Trump, and leaked one to the press that has formed a basis for an investigation into whether Trump obstructed justice by pressuring Comey to end the Russia probe.