Not that we minded, because the real guy is pretty charming and a great raconteur, but it was just curious because in the past the comedian, currently promoting Brüno, has been so committed to in-character appearances.
Though he'd previously done his shtick for Conan O'Brien and arrived at the show as Bruno, Cohen trotted out to the couches as himself. Maybe the story he told—about meeting a real-life terrorist while preening as the outrageously gay Austrian fashion reporter Bruno—was just too good and could only be told in person. It's also possible that after years of his masked shtick, the real Baron Cohen wants some notice for being himself.
Or maybe the character is just a bit too outrageous? Not that Dave Letterman would mind either way, obviously, but it is possible that he's been asked by ominous Powers That Be to scale back the hard sell. Borat was a funny guy because he was a weird foreigner Muslim. Bruno is funny because he's a weird foreigner but he's also, you know, gay and that's just so tetchy these days, best to leave it alone.
Ah well. No matter what, it's a great story.