They told him: " Look, we've had the result and it's cancer."
Nobody had ever said that to him before, he said sadly .
He talked about his own own demise as he travelled around cemeteries, crypts including the famous San Francisco St Neptunes Society Columbarium, an audacious neo-classical temple-like structure. At the time of Aids epidemic in the 1980s it was the only place that would allow Aids victims to be cremated and interred there.
Talking about his own death, he didn't want a resting place: "I want to be scattered to the wind."
As he strolled through a pet cemetery with 14,000 graves in the same city, he couldn't help but be impressed with the flash marble headstones, with deep and meaningful poems and words of love inscribed on many.
At a cost of $550 per plot, $350 for a headstone and $1000 for a small silk-lined casket, dogs, cats, rabbits and guinea pigs didn't come cheap but they were obviously much loved, he grinned.
In New Orleans, where death is celebrated as part of life, Connolly was visibly unnerved at a voodoo session when a woman leaned in and said "you're not right, are you?"
Even though this was a documentary about an ostensibly taboo subject, it was interesting and fascinating with this top chap telling the story.
I laughed out loud at his look of stunned horror when he popped into a drive-through funeral parlour in Los Angeles. Behind glass display windows, Grandma could be viewed powdered up in her satin-lined casket and family members doing their obligatory drive-by.
Too weird for me, especially when a small child waved out to dead granny from the back of the family SUV.
Connolly's eyes went all shiny behind his specs when he said that, since his health news, he had been smitten by his young daughter telling him that if he died she would "cry and cry and cry and never come out of her room again, ever".
And though funerals were a gazillion dollar business in the United States, sadly in Britain economics were dictating a number of free state funerals for the penniless, he said.
Pauper funerals - what an indictment, Connolly concluded.