They welcomed Cohen, played by Stiller, to their office.
"Michael Cohen, attorney at law -- and also sometimes not at law," he introduced himself.
As the real Trump complained on Twitter last week as word of the raid on Cohen broke, Stiller worried about the investigation destroying attorney-client privilege -- or, as he called it, "attorney-criminal" privilege.
"This whole thing is a violation of attorney-criminal privilege. ... I'm Donald Trump's lawyer, I've got a whole hard drive that's just labeled 'yikes,'" Stiller said.
De Niro would then give Stiller's Cohen a lie detector test, which he failed when asked if Trump knew about the payment of $130,000 to Stormy Daniels.
The show even got a chance to make a callout to De Niro and Stiller's famous "Can you milk me?" scene in the duo's 2000 comedy "Meet the Parents."
"I just tried to milk some information out of people," Stiller said. "So what?"
"Did you say 'milk?'"
"Yeah, like with a cow, or a goat ... or a cat," Stiller responded. "You can milk anything with nipples."
"Really? I have nipples, can you milk me, Mr. Cohen?"