A source said: "Chris got a call from Russell late at night before telling him Katy wouldn't be appearing as they wanted to spend the evening together.
"Chris was a bit annoyed but thinks Katy is hot as well - and if she was his girlfriend he would probably do the same!"
Instead, the loved-up couple went out to dinner at a trendy East London restaurant before heading back to Russell's London home at 8.30pm.
Disappointed Chris - who was recording an episode to be broadcast in the UK in February - told his audience: "Katy is tired apparently. But then she does go out with Russell Brand."
Meanwhile, Katy's ex-boyfriend, Gym Class Heroes singer Travis McCoy, said he was pleased for his former girlfriend's new romance - but said that he was better looking than Russell.
He said: "It is really not in my character to be nasty about anyone and I wish her luck. I do think I have better hair than Russell, though."
While he bears no hard feelings towards Katy, Travis admits the end of their romance has inspired several tracks on his new album - but claimed his dog was equally important in his life as the singer.
He told Britain's Daily Star newspaper: "Being in a relationship with Katy has inspired tracks. I've also written songs about my puppy. That's inspired me as much as any relationship situation because he's my baby boy."