David Letterman made a shocking personal confession on his CBS Late Show Thursday, admitting he was the victim of a $2 million extortion attempt and that he had had sexual relations with female members of staff.

Three weeks ago, according to a press release from reps of the TV host to PEOPLE and other news organizations, Letterman received a package whose sender claimed to have information about alleged sexual activity between the 62-year-old star and employees of his program.

Threatening to go public with the news, the individual reportedly sought $2 million from Letterman, the current late-night ratings champ told his studio audience Thursday.

"This morning, I did something I’ve never done in my life," Letterman said as the cameras rolled. "I had to go downtown and testify before a grand jury."

In his testimony, Letterman said, he admitted to engaging in sexual relationships with staff members. "My response to that is, yes I have. Would it be embarrassing if it were made public? Perhaps it would."

He added, "I feel like I need to protect these people – I need to certainly protect my family".

Letterman concluded his admission by saying this was all he intended to say at this time and that he hoped to keep his job.

Letterman and longtime girlfriend (since 1986) Regina Lasko were married in March. They have one child, a son, Harry, born in 2003.