NEW YORK (AP) -- Mayor Michael Bloomberg revealed during his first sit-down interview on David Letterman's "Late Show" that he thinks being governor is a "terrible job" and said he's not embarrassed to be ranked the 10th richest person in the nation.

The billionaire mayor said he prefers being mayor because mayors can interact more with their constituents and "the state is so spread out."

Bloomberg, a Democrat-turned-Republican-turned-independent, last week endorsed Democrat Andrew Cuomo in New York's gubernatorial race.

During the 15-minute "Late Show" appearance, Letterman also teased Bloomberg about how his city has recently closed parts of Broadway in midtown Manhattan to create pedestrian plazas. Letterman called them "petting zoos."

Before Bloomberg went onstage at the start of the segment, a tree was partially blocking the camera and people were sipping coffee at small tables on the set, mocking the patio furniture that the Bloomberg administration installed in the Broadway pedestrian plazas in Times Square and Herald Square.

From behind the camera, Letterman was informed that "during the commercial break, Mayor Bloomberg installed a pedestrian plaza."

During Bloomberg's nearly nine years in office, he has appeared several times on Letterman's CBS show to read the Top 10 list or to participate in jokes, like when he gave Letterman's beard a key to the city.

On Wednesday, Letterman asked him about a wide range of topics, including World Trade Center rebuilding, the mosque planned in lower Manhattan near ground zero, the tea party movement and even rats and bedbugs, which have been discovered in theaters, clothing stores, office buildings, housing projects and posh apartments throughout the city.

"The bedbugs are probably tougher," Bloomberg said.

Letterman mentioned where Bloomberg, who founded the financial information company Bloomberg LP, was ranked on a list of richest Americans. Forbes magazine estimates his fortune at $18 billion.

"I saw a thing today where, and it's probably embarrassing, you're like the 10th wealthiest person in the world or something?" Letterman asked.

"That's not embarrassing," Bloomberg said. "Try it sometime. You'll like it."

The show was taped Wednesday afternoon to air that night.