The comedian said he has checked out a few matches, including Roger's first-round victory over Aljaz Bedene and Caroline Wozniacki's dramatic comeback win over Jana Fett after saving two match points at 1-5 in the third set.
As far as how Will Ferrell even managed to score the opportunity to interview Roger Federer on television, the actor has been a part of a handful of celebrity-backed tennis benefits throughout the years.
Asked if his standing affords him greater influence over tournament organisers than his peers, Federer replied: "Possibly".
"In the immortal words of Ron Burgundy, it's great to be here with two tennis legends - Roger Federer and John Mcintosh".
"I just took it upon myself to run on to the court of a grand slam, despite security", Ferrell said in jest. Sure, the "professionals" will get Federer to tell them how he made it through a challenging third set, or find out what his training regimen is like.
Ferrell quipped: "Not if they're fast enough".More news: Encounter plan made to kill me: VHP leader Pravin Togadia
"Maybe. Maybe not" said a cautious Federer.
Gunning for a seventh Australian Open title, he was glad to be back at the coal face, having missed the competitive edge.
WF: There's a rumour in the men's locker room that you love coming to play in Melbourne and your secret to fitness is you only eat wombat meat. "Quick question, Roger. You're 36 years old, you seem ageless".
The three-time Grand Slam victor, who defeated Rafael Nadal to win the 2014 Australian Open, has slipped to nine in the world rankings and faces a battle to climb higher after his early round exit.
While Ferrell said he's enjoying Melbourne he did leave a tip for how we can improve our city.
"That is untrue", Federer laughed.
"I feel the pain but I didn't think about it. Last year could be my favourite year of my career but I am hoping to stay healthy, give myself chances and play my very best in the big matches like last year", he remarked.