“Well, I’m not dating him,” Davidson, 22, told PEOPLE at the fourth annual Red & Blue Soiree when asked if he was intimidated dating David’s daughter, Cazzie.
“I just love her very, very much,” he admitted.
“He’s the sweetest man in the world, he’s the coolest,” the Saturday Night Live cast member said of David, 68. “We get along really well.” And he’s learning a lot from his girlfriend’s dad.
“I listen to everything he says very carefully because you want to retain it all,” the young comedian said.
Davidson, whose father was lost in the 9/11 attacks, was an honorary chair of the event which benefited the New York Police & Fire Widows’ and Children’s Benefit Fund, “Answer the Call.”
“This organization helped my family a lot when my dad died,” the Staten Island native said. “Everybody I know is a fireman and I love firemen. It’s just a great thing to be a part of. It would be weird if I wasn’t here.”
And Davidson is the first to admit that Saturday Night Live played a huge role in getting New York City through that tough time.
“Lorne really handled the whole 9/11 episode really beautifully. It’s one of the greatest tributes to it that exists. So I’m very lucky and happy to be a part of it.”