"Well, I think that's obviously true, because you see Trump on our air every day."
Kelly admits that Trump's attacks have boosted her profile -- and no one agrees more than Donald Trump:
"I might the best thing to happen to her," he said on CNN. "Who ever even heard of her before the last debate?"
Kelly said, "One of our babysitters is from Peru. And she came home one day and told us that she saw my name in the Peruvian papers. I don't think that ever happened before this particular dustup. So I'm gonna have to give him that point!"
But there are fears that have arisen from all the attention: "It's not so much what he writes or says; it's how he gins up anger among so many," Kelly said. "So it manifests in my life in several ways."
"Have there been threats against your life?" Rose asked. "Does that concern you?"
"It's not like I'm worried someone's actually going to come shoot me down. But I do worry someone's going to try to hurt me in the presence of my children."
Still, the 45-year-old Kelly, and her husband, author Doug Brunt -- parents of three children under seven -- seem to take it all in stride.
When asked how he has been affected by "this Trump stuff," Brunt replied, "It is frustrating. I think one of the thing's that's been most frustrating for Donald is that he has not been able to get a rise out of her even though he repeatedly tries to do so. For me, he gets a rise out of me, for sure."
Rose asked Kelly, "Some think about this, and they look at it, and they say, 'Why her?'"
"I think it's very clear to him that he cannot control the editorial on my show, or from me, in a debate or other setting."
"Just that? That's all it is?"
"I wouldn't want to speculate beyond that," she said.
"If on Monday, Donald Trump says, 'I want to come on your show,' would you say, 'You're welcome. Come on. We have a spot for you'?"
"And it does not require an apology from him?" asked Rose.
"Oh God, no. No. He does not have to apologize. We'd have to discuss something about the dynamic that's --"
"And what would you say to him about it?"
"'Why?'" Kelly said. "That's what I really want to know. Why?"
Especially when Trump appears often on other Fox News programs. In January, on Bill O'Reilly's show, he was at it again:
"I have zero respect for Megyn Kelly. I don't think she's very good at what she does. I think she's highly overrated."
Rose asked, "Did you expect Bill to defend you?"
"I mean, I wish he had defended me more in that interview," Kelly said. "I would've defended him more."
"There was silence?"
"I think Bill did the best he's capable of doing in those circumstances."
"Well, that's damning with faint praise: 'The best he's capable of doing'?"
"Listen, as Bill is fond of saying, I would've handled it differently. What can I say? It was a dark moment."
Fox News has repeatedly defended Kelly, saying in a statement just last month that Trump has an "extreme, sick obsession with her."
Obsessed? "Well, I think they were referring to the nonstop nature of it," she said.
But Fox also recognizes that Kelly is a major talent: it's giving her a bigger platform next month -- a primetime special on the Fox broadcast network.
Still, Megyn Kelly isn't taking anything for granted.
When asked if she worries that this could all end, she replied, "Yes. Of course. I like to go big. I am not a worrier, I am a catastrophizer. I don't waste time with the small stuff. I like to go -- you know, one bit of turbulence on the plane, 'This is it!'"
"When you think about your future," Rose asked, "What do you want?"
"To keep growing," Kelly said. "I mean, I'm not saying I want to leave Fox News. I'm saying I want to add to what I'm doing. But I have to figure it out, Charlie, because I don't want to take away more time from my family."
"Certain people have found the perfect show for themselves. What's the perfect television show for Megyn Kelly to do?"
"How about if we merge a little Charlie Rose, a little Oprah, and a little me all together? And we serve that up as an hour? Wouldn't you watch that?"
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