The Italian actress and TV presenter – who is the ex-girlfriend of George Clooney – was voted off the show by viewers on Tuesday night, despite her and professional partner Val Chmerkovskiy landing in third place with a score of 21 out of 30 the previous evening.
She said: "For me, it was a gift every day staying here. It was a great adventure. I want to thank everybody because they made me come here. Thanks to the public and to everybody who voted for us.
"Now I am really nervous, but thank you anyway. It was a great experience."
Meanwhile, Chaz Bono has admitted his ankles have "taken a pounding" during the vigorous training sessions for the competition, so he and his partner Lacey Schwimmer are opting for a slower-paced rumba next week.
Chaz - who was born a female named Chastity and began gender reassignment surgery around three years ago - said: "We have a very simple style of dance this week. We have the rumba, so it’s slow.
It’s pretty easy, and we are going to try and work around it as much as we can. I’ll be okay. It's taken a pounding."
However, Chaz's mother Cher is so concerned about his injuries she is sending over a medical team to help with his ailments.
He added: "She was stressed to say the least. She called me up and she’s sending her doctors to help, and she’s just trying to be as supportive as possible."