Williams, who left Take That in 1995, then appeared on stage before moments later being left to perform songs from his new album, Bodies and You Know Me.
Afterwards, he said: "I started tearing up just before I came on, and the lads were singing and knowing it was just about to happen and knowing what the reactions were going to be like, and then all my team were like 'Please don't cry'.
"And I think we should have milked it for a lot longer than we actually did. I think Gaz, in his wisdom, went, 'Right, we should get off now, let the lad do his singing.'
"I was trying to get them back to do a bow and everything. That's the first time in 15 years, we should have at least stayed there for 10 minutes."
Of speculation about him performing with the band again, he said plans were "shaping up to be very exciting" but added that he did not know where, when or how it would happen.
Robbie Williams on appearing with Take That: "This feels good"
"I just hope people don't get bored of the idea before it actually happens," he said.
Williams and Take That returned to the stage with all the other artists to round off the show with a performance of The Beatles' Hey Jude.
Other acts on the bill included Leona Lewis, Lily Allen, Mika, Muse, Dizzee Rascal and Katherine Jenkins.
Among "one-off" duets planned as a key feature of the show, Dame Shirley sang This Time accompanied by Barlow on piano, before rapper Dizzee Rascal joined her to perform her classic song Diamonds Are Forever.
Cheryl Cole appeared with Snow Patrol, with the Girls Aloud and X Factor star singing Martha Wainwright's lines from the guitar band's song Set The Fire To The Third Bar.
Frontman Gary Lightbody had told the Spinner Music website that some people had "raised an eyebrow" when they heard about the collaboration.
"Everyone doing that gig has to duet with someone from the gig," he said.
Snow Patrol and Cheryl Cole were one of the show's unlikely collaborations
"Everyone gets a partner, it was like getting a partner at school. We got the prettiest girl in the class.
"People have raised an eyebrow now and again when we've mentioned we're doing it with Cheryl Cole."
Other duets saw Lily Allen joining Take That on the boy band's song Shine, while Dizzee Rascal and Noisettes' Shingai Shoniwa performed Dirty Cash (Money Talks).
Barlow also dedicated a performance of Rule The World to his father, Colin, who died last month.
"This song is dedicated to everybody who's lost somebody they love. Dad, this one's for you," Barlow said.
The concert will be shown on BBC One next Thursday, 19 November, from 2000 GMT.
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