"As you can see, on the night it totally demolished," he told host Kumi Taguchi.
"It was one of the best sets I've ever done in my life. It's something that I feel real privilege that I managed to capture on film and can never be replicated.
"Because those were pre-written jokes that I was doing about Prince Philip at the Comedy Festival for 10 nights in a row – so if anything I should maybe apologise to the royal family because I think I killed him. I may have cursed him," he joked.
On the Friday night in question, April 9 last year, Spears was halfway through a joke ridiculing Prince Philip when an audience member yelled out: "He died tonight."
"Oh, can you believe that the royals are bad people? Yes! They live in castles. Of course they're not very nice. Have you guys not seen Shrek?" his bit had begun.
"Have you guys seen Prince Philip?" he continued. "He is 3000 years old. I'm pretty sure he invented racism."
After learning about the Duke of Edinburgh's fate, Spears was in visible disbelief.
"What?" he said, reading a news announcement off an audience member's phone.
"I have to say … bit overdue," he said as the audience burst into laughter, adding: "Are we sure he died today? I reckon he died 10 years ago and they wheel him out attached to strings at special events!"
Hours later, Spears tweeted, "Prince Philip died DURING my show tonight. Clip coming soon."
While answering the question: "Where's the line when it comes to humour and what happens when you cross it?" on SBS, Spears admitted the punchline didn't go down so well with some – particularly older British people.
"I've never had so many death threats from people that were so close to death themselves," Spears said on the show.
"It was profoundly positive but there was like a really, really loud minority that were incensed and very angry and upset.
"All of that voice was fuelled by the media by presenting that bit with headlines like, 'Disgusting and vile: Stand-up comedian mocks Prince Philip moments after death' – they were prefacing the almost objectively funny joke that was received well by everyone in the room and most people online as a vile thing you should be angry about, before you've even had a chance to view it," he said.
Elsewhere on the programme, he said comedians shouldn't be afraid to make jokes due to concern it would "makes us boring".
"I think that comedians' jobs and artists' jobs is to walk the line and sometimes look at it and kick it out and go, 'You know what, I reckon I can bring some of these dark and hurtful things into the light" and make us talk about it or make us more comfortable with it.'"
