"You know, on the Internet there's an acronym that's used to apply to situations like this. It's called 'STFU,'" he told Chris Matthews. "I don't think I can say that on the air, but I think you know what that means."
Matthews asked Grayson to "give me the first part," and Grayson said, "shut." STFU is an acronym for "Shut the F*** Up."
Grayson's office posted a video of the lawmaker making the comment to his YouTube page.
Grayson had been asked about Cheney's critical comments on Fox News about President Obama.
Cheney has been a frequent critic of the president, most recently suggesting he is giving "aid and comfort to the enemy" by holding the trial for Khalid Sheikh Mohammed in New York.