The "Bad Things" star, real name Colson Baker, reveals the couple was still getting to know one another when the pair jetted off to French Polynesia early last year (20), but a dip in the water ended up being far from idyllic.
"She put her goggles on (and went under the water) and was like, 'Babe, there's a shark right there,' " Kelly recalled on America's "The Ellen DeGeneres Show". "And before she finished her sentence, I was already, like, halfway down the street. I left her in the water."
Luckily, actress Fox was more than capable of swimming to safety and, the next day, Kelly decided to face his fears head on.
"The second day we went, I committed and I swam with sharks," he said.
Kelly wasn't surprised by Fox's reaction to the ocean predator because she had already shown off her daredevil side on their first date, which required them to scale a building to reach a rooftop with stunning views.
Showing off photos of the stars making their way back down, he explained, "That's her climbing down off of a dangerous three-storey balcony, in heels!"
Despite Fox's fearlessness in the great outdoors, the mother-of-three wasn't so brazen in her new home, which they suspect is haunted as doors are constantly opening and shutting on their own.
"She called me, she locked herself in her bedroom one time. I had a weapon to make sure that everyone was safe. So I went through the house with a weapon," Kelly shared of his rescue attempt.
"Then we realised we needed Ghostbusters. What I had was not going to defeat whatever enemy was in this house. That realisation came later, 'cause at first, I was looking for a culprit that we later found out didn't exist."
Kelly and Fox have been almost inseparable ever since going public with their romance last spring and, in February (21), they took their romance to a whole new level as the rapper/actor showed off a necklace containing a drop of his girlfriend's blood.
The unusual gift was actually presented to Kelly by the "Transformers" beauty as she prepared to travel abroad for work. "She was actually going out of town to film a movie. This was really new in our relationship," he remembered. "I didn't have a passport either, so, she was going out to Bulgaria so I was kind of freaking out, like, 'You're gonna leave and I can't even come see you.' "
"Some people give, like, a handkerchief to their partner or whatever," he continued. "She gave me her DNA."
And Kelly revealed he was eventually able to obtain a passport - thanks to U.S. Senator Bernie Sanders, who he credits with helping to keep his romance alive.
"You know who helped me get a passport? Bernie Sanders," he said. "Thank you so much! I haven't talked to him since that happened, but thank you so much to the Bernie Sanders team. I made it to Bulgaria and it's all going strong."