Jon Bon Jovi Recalls Telling Michael Jackson the 'Fun Story' of How He Pulled Off a Disguise on Tour (Exclusive)

• Jon Bon Jovi filled PEOPLE in on a certain featured item in the Rock & Roll Hall of Fame's latest exhibit
• "We bought these great wigs and hats and mustaches," the rocker says
• The moment was so fun, in fact, that Jon later told the story to Michael Jackson

Jon Bon Jovi is looking back at a memory he shared with Michael Jackson.

While speaking exclusively with PEOPLE as he and Bon Jovi celebrate the opening of the Rock & Roll Hall of Fame's latest exhibit centered around their band, the rock star, 62, reflects on one item featured and recalls memories attached to it.

In the Cleveland-based museum's exhibit, there is a hat with fake curly black hair that Jon wore as a disguise so he could walk around undetected during the band's Slippery When Wet Tour in 1986.

"In order to be there amongst all the fans in front of our own hotel, we bought these great wigs and hats and mustaches," Jon recalls. "We actually did pull it off in Australia. It was a lot of fun."

The moment was so fun, in fact, that Jon later told the story to Jackson, who died in 2009. "I shared that story with Michael Jackson, who pretended as though he'd never done anything like that," he says with a laugh. "But he had done it a lot of times, so it was a fun story to share."

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Jon first met Jackson years ago, when both were in Tokyo during the same period of time. During an appearance on Jimmy Kimmel Live! in April, the rocker recalled partying with the "Thriller" singer's pet chimp Bubbles.

According to Jon, he was under the impression that he and Jackson had become "friends" so he invited the late artist to spend time with him and Bon Jovi on their hotel floor.

"Unfortunately he didn't come, but he sends Bubbles the chimp as his representative," Jon recalled. "That was big. Bubbles comes down and wreaks havoc. Bubbles parties like a rock star."

Bubbles, Jon added, was "jumping on the bed" and "putting on a show." He also said the animal's presence felt like "a lifetime" and hotel management later threatened to throw the band out.

At the Rock & Roll Hall of Fame's new full-floor exhibit, titled Bon Jovi: Forever, fans will get to explore Bon Jovi's iconic music history. Alongside Jon, the band also consists of members David Bryan, Tico Torres, John Shanks, Phil X, Everett Bradley and Hugh McDonald. (Original bassist Alec John Such left the band in 1994 and longtime guitarist Richie Sambora left in 2013.)

The exhibit's opening was timed with the recently released docuseries Thank You, Goodnight: The Bon Jovi Story and will "showcase the band's story from inception to the present, celebrating their 40-plus-year career, including countless milestones and accolades," per a press release.

Never-before-seen artifacts from each of the band members will also be present, alongside images, audio and video that will "tell the story of the work, the art, the business and the legacy of one of the biggest bands of all time," the release adds.

"There's a lot of history. There's a lot there for fans to come and see," Jon tells PEOPLE of the exhibit. "We were archiving everything for the 40th anniversary, as well as the documentary, and then the museum came to us and said they want us to do a big display celebrating, so we gave them a lot of the prime elements of the archive."

Tickets to visit the Rock & Roll Hall of Fame can be purchased here.