I know this is a pretty old thread, but Seth Meyers talked about this SNL appearance recently when Jason Segel was a guest on his show. Seth had the following to say:
"We got to write, with Jason, a song for the Muppets. And it went really well at dress rehearsal, and at air... I don't want to call out a Muppet by name, but one of the Muppets blew their line at air. And it was one of the funniest moments because you're just backstage with a bunch of writers, and we're watching it, and a Muppet blows his line, and it's that great moment where you're like 'Ah, <expletive> Gonzo'. He was supposed to say 'I guess the chicken's out of the bag' and hold up a chicken. Instead he said 'I guess the cat's out of the bag', which is just what it is. And it was great though because you could see Gonzo realize he made a mistake. Not to reveal too much, but what's even worse about it is they're under the thing, they're reading it. It's not like they had to memorize it."
I don't really know what he's talking about though. It sounds to me like Gonzo got the line right. Maybe Seth was confused and it was actually during rehearsal that the mistake was made.