Comey was speaking to FBI employees in Los Angeles when the news broke on a television, the newspaper reported. He then laughed, thinking it was a prank, the Times said.
Comey "stepped into a side office, where he confirmed that he had been fired," the report added.
Trump fired Comey on Tuesday, telling him in a letter "it is essential that we find new leadership for the FBI that restores public trust and confidence in its vital law enforcement mission." In letters released publicly, Attorney General Jeff Sessions and Deputy Attorney General Rod Rosenstein recommended that Comey be fired due to his conduct in the investigation into Hillary Clinton's handling of classified information at the State department.
Several lawmakers questioned the timing of Comey's removal because the FBI is investigating Russia's alleged interference in the 2016 presidential election, including any possible links between the Trump campaign and Moscow.
The White House did not immediately respond to CNBC's request to comment on this story, but Trump advisor Kellyanne Conway claimed to CNN on Tuesday that the firing "is not a cover up" and had "nothing" to do with Russia.
Three senior FBI and Department of Justice officials told NBC News that they had no warning or advance knowledge of Comey's dimissal. Some of the officials that spoke with NBC know Comey personally.
"I have said from the get-go that I think a special prosecutor is the way to go, but now with what's happened it is the only way to go," Schumer told reporters on Tuesday.
The White House said its search for Comey's successor begins immediately.
—CNBC's Christine Wang contributed to this report.