He talked about all things All-Star weekend, his relationships with both Stephen and Seth Curry, and about his father's, Mychal Thompson's, time in the NBA.
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There's one thing, however, that Klay would not dish.
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Everyone is dying to know if he's considering following in his dad's footsteps by becoming a Laker.
So we asked the four-time All Star if LeBron James is making any efforts to encourage the switch from blue and gold, to purple and gold.
"Would you tell me if LeBron was trying to recruit you?" Larry asked.
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"I would," Klay said. "But that would be a snitch move."
He even took it a Euro-step further and said, "I plead the fifth."
See more stories and videos about Klay Thompson and the Golden State Warriors.