Mr Kelly's partner Karolyn Shindler broke the news to him as he returned home from Mass on Sunday morning.
"It's a shock and a shame," said t he Game For A Laugh and Going For Gold presenter.
"I came home from Mass and opened the door and I just looked at Karolyn and I knew something was wrong and I thought who is it?
"I didn't know he was that seriously ill. I knew he'd been told not to do Children In Need because, as he quipped himself, they don't want an 'oul fella of 77 standing up for ten hours asking for money."
Mr Kelly grew up among the Wogan family u nder the watchful eye of Sir Terry's mother Rose - "known affectionately as Mammy Wogan" - after first becoming good friends with his younger brother Brian at Belvedere College in Dublin.
He later followed Sir Terry to Britain and into a career in broadcasting.
"It is a real, real shame," he said from his home in Hampstead.
"For so many people in this country, it is going to be like a death in the family - they adored Wogan.
"They didn't care whether or not he was or wasn't a professional broadcaster, he was just Terry Wogan."
Recalling their earlier days, he said Sir Terry had control over his schoolboy piggy bank during his time as a teller in the then Royal Bank of Ireland at Doyle's Corner in Phibsboro, Dublin.
"I was the only person who gave money to Terry Wogan secure in the knowledge it would be a devil's fight to get it back," he quipped.
"I had a padded savings bank with teeth at the top of it, so you put a half crown in the top when your auntie gave it to you for your birthday but you couldn't get it out again - even with a knife.
"So you had to go up to Wogan and ask him, he had the key to open it.
"He and I would always speak about that. I can't speak highly enough of him. I think it is a terrible loss."
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