The detective also asks Burke about the moment his mother realised JonBenet was missing, when his mother burst into his room frantically looking around.
"Have you ever seen mum like that?" Schuler asks.
"No," Burke replies.
"I just lay in bed with my eyes closed and like sort of thinking of what might have happened to them… I just heard my mum going psycho."
When police and neighbours arrived Burke says he lay there "scared" and "worried" but at first he didn’t realise she was dead.
"I thought JonBenet was gonna be there, I thought they found her," he continued. "I came in excited … almost relieved … then my dad told me that JonBenet was in heaven."
Burke is the only family member that has never spoken publicly about the case, that has never been solved and has captivated the world for almost 20 years.
Ahead of the 20th anniversary he sat down with Dr. Phil to speak about the case for the first time.
Burke’s interview with Dr. Phil will air on September 12, 13 and 14.