On his podcast, McAfee made light of the suit, saying all he did was cover the news of the alleged actions.

"I'm getting sued by Brett Favre. We made it boys …," he said. "We’re lucky to have a little bit of say in sports. We’re thankful that we have the opportunity every day to be a part of the sports media world. And I guess whenever you get a little bit too big, you fly a little bit too close to the sun."

Favre, who helped raise money for a University of Southern Mississippi volleyball center, has denied knowing that a $5 million grant came from a Temporary Assistance for Needy Families welfare fund through the Mississippi Community Education Center. 

The state of Mississippi is suing 38 people or companies in an attempt to recoup $24 million of $77 million in federal welfare money, according to a report by Mississippi Today. 

McAfee said he was sent a letter by Favre's lawyers asking to delete videos of him talking about Favre and give Favre a public apology. 

"I said, ‘That is hilarious, of course we’re not doing that' … There’s one word I believe that was said off it, on this particular program, if you’re going to watch it all, and that would be ‘allegedly,’" he said. "Our job is to report the news. … We owe the sports media world our coverage of it. We take our job seriously as journalists."

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McAfee is confident he did nothing wrong, and he's pumped up for the battle.

"Let's ride this f---er. I'm excited to see how it goes. I'll see you in court, pal," McAfee said. 

Favre received $1.1 million for fundraising, which he reportedly gave to the university to assist in building the volleyball center.

Favre has returned the $1.1 million but has yet to pay back the interest, which is why the state is suing him.

Fox News' Joe Morgan contributed to this report.