The Prime Minister has previously declared that "no deal is better than a bad deal", and has explained that she would be prepared to leave the negotiations with nothing if she sees fit.
Today, the Brexit Secretary took part in an interview with Holmes and his co-host Charlotte Hawkins to explain the comments.
The 57-year-old presenter asked: "Will you walk away or are you going to play hardball?"
Getting straight to the point, Davis replied: "The Prime Minister last night was not going to do the negotiations on air.
Eamonn Holmes gave David Davis a grilling about the Brexit negotiations
David Davis explained why no deal is better than a bad deal, as the PM has previously argued
The EU have issued a new set of demands and we have to deal with it toughly, and she will
"Like she said, if you're going to do any deal you need to be prepared to walk away.
"The EU have issued a new set of demands and we have to deal with it toughly, and she will," the Conservative MP added.
However, Holmes wasn't finished there, demanding Davis to answer what the worst can happen is.
"I'm not going to give you a shopping list because that might give the European Union some ideas," joked Davis.
Get Quotes on Home Insurance
GMB: Piers Morgan & Susanna Reid take on politicians Tue, January 24, 2017
Good Morning Britain hosts Piers Morgan and Susanna Reid talk politics with Theresa May, Nigel Farage, Donald Trump and more.
Getty 1 of 14
Good Morning Britain talks politics with Theresa May, Donald Trump, Nigel Farage, & more
He continued: "The point you've got to remember that any negotiation gets a good outcome from both sides.
"We're not aiming to say no but we will walk away because the ability to walk away will allow you to get the best deal at the end.
"The public know that if you go into a negotiation you have to be willing to be tough," Davis asserted.