At the end of nearly every interview Colbert will raise a question or assert something that is hard to answer/rebut in a soundbite on the spot without making it look like Colbert trounced you. He did the same in this interview by asserting that Jesus told him that he misses Michael Shermer. Dr. Shermer didn't let himself get derailed into something like "well how do you know" but retorted by saying that that is all in Stephen's head and his book explains it.
Now I know that for Michael Shermer this was not a hard decision, figuring out which route to take (and I'm sure there's more I haven't described, but the "how do you know that" answer is an obvious skeptical route in my opinion"). He was plugging his book while answering Colbert's question. Stephen Colbert's response was just to dismiss the book, and then end the interview. Because that was the maximum value he could get out of this interview.
This is not something that happens often in interviews conducted by Stephen Colbert. Usually he will make sure he manoeuvres his guests into a position in which he stumps them, or at least appears to. It didn't work this time, and I do not think it was by design, although I cannot discount that possibility.