Davidson's post came after the SNL star revealed he had been receiving messages telling him to kill himself in the wake of his split from Ariana Grande.
Grande tweeted in response that she was "downstairs and "not going anywhere", which prompted people to think the singer had tried to visit Davidson. Now it has been revealed that Grande tried to enter the SNL building to see him while he was rehearsing for an upcoming show, but Davidson told his security to stop her at the building's entrance so she couldn't get inside.
TMZ reports that Grande told a handful of her friends that she was visiting Pete, and the friends gave Davidson a heads' up, prompting him to in turn alert his security.
The outlet also said that Davidson wouldn't come out of his dressing room Saturday during rehearsals, and he was therefore only given one line on the show, introducing Miley Cyrus.
Davidson has been open about his mental health struggles in the past, revealing he attempted suicide after he lost his father in 9/11 and suffers with borderline personality disorder.