"I felt a little strange," he said, adding that his "Jersey Shore" co-stars were happy for him.
"I got a text from everybody when they heard," the 31-year-old from Johnston, R.I., said in a recent interview. "They were all happy for me, and so I'm glad that they're happy."
Castmates Jenni "JWoww" Farley and Nicole "Snooki" Polizzi are filming their own spinoff for MTV, but the entire cast will return to the shore this summer for season six of "Jersey Shore".
Pauly isn't completely alone on his new show, which debuts Thursday (10:30 p.m. EDT). His longtime friends from home are also featured as cameras follow his busy schedule of DJ'ing, personal appearances and other ventures.
He's been a DJ since he was 16. His first gig was at a Sweet 16 party, where he says he "killed it" and knew "this is what I want to do for the rest of my life."
Still, working as a DJ at clubs in Rhode Island didn't pay the bills. Pauly said he "lived paycheck to paycheck," working as a car salesman during the day and a DJ at night.
"DJ'ing wasn't paying the bills. The car business was. I was struggling working all those hours. It was tough," he said.
Now, money is one less thing he has to worry about, Pauly said.
50 Cent signed him to his music label, and Britney Spears tapped him to open for a few dates on her Femme Fatale Tour. She even famously pulled him onstage for a lap dance, which Pauly describes as the coolest thing that's happened to him.
"They're still rock stars in my eyes. I've been playing their music since before they ever knew I existed," he said.
Even though he fist pumps to house music on "Jersey Shore," he has a bit of Justin Bieber fever.
"I love his music," he said with a laugh. "I listen to `Baby' and that's one of my favorite songs."
As for his "Jersey Shore" castmates, Pauly said he was shocked when he learned that Snooki is pregnant.
"I was like, `This is crazy,' but I'm happy for her because she seems like she's happy and she seems like this is what she wants. She's a part of our family now, so I feel like we're all having this baby," he said with a laugh.
He says less about Mike "The Situation" Sorrentino, who recently admitted he's in treatment for an addiction to sleeping medication.
"I don't know too much about it," Pauly said. "I didn't know he had a problem until I heard it in the media, so I wish him the best. I support him. I hope he gets well because I want to film season six with him."