During the interrogation, Lucifer mentions that he should have a name for women who want to have sex with him. "Lucifans" is one of the names he suggests. This is the name fans of the show call themselves.
One of the names Lucifer suggests for his groupies is "Devil Bunnies." Tom Ellis often includes a doodle of a horned smiley face with his autograph at fan events. Given the number of fans and the speed at which such events move, the "horns" tend to resemble bunny ears, giving rise to a further devil bunny association.
The title is said by Lucifer.