Edit 2: As mentioned in the comments by Martynas Žiemys:
A better way to accomplish this is to create a circle, extrude this upwards and look at it from a side view(orthogonal).
Select the top vertices and activate Shear(ctrl+alt+shift+S).
Select the axis to shear around by pressing X or Y. Key in '1' to shear-rotate the circle by 45 degrees around its center.
Then, extrude this slanted circle along the desired axis.
To straighten the end, set the scale of the vertices to 0 along the extrusion axis.
This results in a circular cross-section, as opposed to the flattened cross-section that resulted from the method I initally posted.
(Credit to Martynas Žiemys for correcting me and providing a better alternative.)
Edit: This method is what the person in the video uses, but: this creates a flattened tube as can be seen in the rightmost object in the lower half of the image attached.
I'm leaving this up here as this technically answers the question and replicates what is shown in the video, even though this creates a skewed shape.
Add a circle mesh, rotate this 45 degrees around the Y axis. Switch to Edit Mode and extrude it along the X axis, and extrude the vertices at the world origin once more, downwards.
Select the newly created vertices and set their scale to 0 along the axis they're extruded. Do this separately for both axii.
Now just grab the vertices at the ends and [G]rab them along their axis to set them to the desired length.