The wacky magician - famed for his outlandish stunts such as appearing to freeze himself in a block of ice and spending 44 days in a Plexiglass cage suspended above the River Thames in London - asked the 'Tron' star to help hold him under water for a stunt.
During an appearance on 'Late Night with David Letterman', she explained: "He wanted us to hold him under water for 15 minutes.
"The best thing was he said, 'It doesn't matter if I'm thrashing, if I'm begging for my life, you can't let me up. You just have to hold me down.'
"I didn't do it because then they asked how many minutes it would take to get to the local emergency room and how long it would take a medivac helicopter to get to my house and this just seems like a bad idea.
"It was like being at the best kids' birthday party ever cause the magic just keeps blowing your mind."
Olivia also told how she lived in a bus with her ex-husband, filmmaker Tao Ruspoli, in the early part of her career and her odd abode always confused drivers sent to pick her up for premieres.
The 'Drinking Buddies' star explained: "I lived on a school bus with a prince in Venice, California. We got married on the school bus and it's a pretty cool bus, it's not your average school bus. I didn't know he was a prince when I fell in love with him and the bus.
"They would come to pick me up for events and in such a beautiful town car and they would be looking for the address and would pull up to a school bus which was painted with graffiti. It's a hippie bus really and they were like, 'Surely this is the wrong address?' "
Olivia divorced Tao in 2011 and is now engaged to comedic actor Jason Sudeikis.