He also said he talked about forming a group with Sting, Don Henley and "another guitarist."
"I liked being in a band," he told the audience. "Someday we might put together a silly supergroup."
Bennett closed the three-hour event, which aired live on Stern's SiriusXM radio show, with a rousing rendition of "New York State of Mind" that earned him roaring cheers at the Cutting Room as Joel watched on. Etheridge was a firecracker when she played guitar and sang "Only the Good Die Young," which she said she listened to religiously in high school.
Joel said he doesn't have plans to release new music but said he recently recorded a Christmas song with Johnny Mathis, who's 78.
"He sounds great!" Joel said.
Joel answered questions from Stern, his sidekick Robin Quivers and fans, including TV personalities Rachael Ray and Matt Lauer, who asked about Joel's daughter, singer Alexa Ray Joel.
"She's really good," Joel said. "Everyone thinks dad set it up ... she did it on her own."
The interview ranged from Joel talking about attending the Woodstock festival in 1969, only to last a day and a half and miss Jimi Hendrix, to growing up Jewish on Long Island though he attended Catholic church and was baptized.
Joel sang and played piano between conversations and mimicked other artists including Johnny Cash to Elton John. He performed a duet version of "She's Always a Woman" with Pink, who walked down the aisle to the song when she got married in 2006.
"You changed my life. ... You were like a god that I prayed to. ... I am, too, a Jew who got baptized," Pink said to laughs.
"I got to see my dad get happy when your songs came on," added Pink, whose father and teary-eyed mother sat in the audience.
Joel also played piano as Tony Award-winning artist Idina Menzel sang "Honesty," and he was in awe when Boyz II Men performed "The Longest Time."
Joel is performing a monthly residency at Madison Square Garden. His next show is May 9, his 65th birthday.