The star, who has been treated for prostate cancer and Parkinson's disease after being diagnosed last year, said he has considered having touch-sensitive pads which will trigger a recording of his voice.
He talks about his plans in a new ITV film Billy Connolly's Big Send Off, set to be screened on Wednesday, in which he investigates attitudes towards death around the world.
Connolly, 71, said: "I was going to have 'Oh Jesus Christ, is that the time already', but in tiny little letters, about an eighth of an inch high, so to see them you'd have to step onto the grave where I would have placed, under the turf, those sensitive pads that you get for people who are breaking into your house.
"And it would activate a sound system and it would say, 'You're standing on my balls!'"
Connolly discovered he had Parkinson's disease after a chance encounter with a fan who spotted him walking strangely. The man, an Aus-tralian doctor, told him to see his doctor right away as his gait suggested he was showing early signs of the illness.
He was given his diagnosis on the same day he was told he had prostate cancer.
He also talks to his friend Eric Idle, from the Monty Python team, who discusses how he spent three-and-a-half years trying to write a musical about death.
"I came up with this great idea, let's write a musical and it was going to be called Death The Musical," he said.
"(Director) Mike Nichols would come for the read-through and people would laugh and we'd go, 'Oh yeah we've got it now, it's working now' and he'd say, 'It's still S***'.
"But other people thought it was a great idea - just the idea of treating death as the subject for a Broadway musical, it's nicely ironic."
Idle said he expected his song Always Look On The Bright Side Of Life - from Python film Life Of Brian - would be used at his funeral.