Lucille Ball and Desi Arnaz’s daughter Lucie Arnaz tells people about her dad’s final moments and the new documentary Lucy & Desi 

Lucille Ball and Desi Arnaz shared an unforgettable goodbye.

The I Love Lucy costars and real-life couple revolutionized television in their heyday. And though they divorced in 1960 and moved on with other spouses, they always shared a deep bond with each other.

The new Amazon Prime Video documentary Lucy and Desi, directed by Amy Poehler, tracks their romance using archival footage and recordings of the stars’ stories in their own words.

Arnaz was 69 when he died of lung cancer on Dec. 2, 1986. Their daughter Lucie Arnaz, now 70, tells PEOPLE in this week’s issue about witnessing her dad’s final exchange with mom Ball over the phone.

“I could hear her say, ‘I love you.’ She said it five times in a row. And he was nodding and saying, ‘I love you too, honey,’ ” recalls Lucie, adding, “He died in my arms. None of us realized it at the time, but the day they last spoke was Nov. 30, their wedding anniversary.”

Ball died less than three years later from cardiac arrest at 77.

Reflecting on her parents’ marriage and its connection to their legendary sitcom, Lucie explains, “They did the show so they could be together because my dad was always on the road and they never saw each other. So my parents thought, ‘Well, this is going to save our marriage, and we can have a family.’ “

“They gave the country this wonderful creation, but they never got what they wanted — to stay together,” she says. “… [But] they loved each other until the end.”

Lucy and Desi debuts March 4 on Amazon Prime Video.