"It was a call of urgency and I came to his home immediately," he told anchor Gayle King.
Don Cornelius was wound dead in his Sherman Oaks, California home early Wednesday morning. He was 75.
"He had been very unhappy about things that had gone on in his life," said Tony.
Thus far, authorities haven't been able to find a suicide note, but Tony said his father didn't share many details of his private life.
"Unfortunately, when you're a private person, you keep things inside," he said. "Me, being extremely close to him, I could tell he was uncomfortable."
Most recently, Don suffered unspecified health issues and he also divorced his wife, Viktoria Chapman, in 2009.
Funeral arrangements have yet to be made.