"Here's the thing, I sort of naively didn't realise it would be, like, 'a thing', that I was going to different places and trying the onion rings at each of those places," she said, over audience laughter.
"Oh, God, it's me, it's me, it's me."
After Fallon told her the admission was "the best thing ever", Lorde still seemed embarrassed.
"I feel like it reads like the kind of thing a pop star would do to look relatable," she said.
"Which it wasn't, it was just a funny thing with my friends on the tour, and I was like this is a good pastime.
"Now everyone knows about it, it would feel like it's something I'm doing to crib fame.
"Then people are going to be throwing onion rings at me on tour.
"It was fun for like, five seconds. But I'm still going to keep eating onion rings, because they're my favourite."
Lorde also performed her new single Perfect Places for the show.
