The former Olympic super-heavyweight champion, who has size 17 feet, danced a Cha Cha Cha with partner Natalie Lowe.
Audley was on the ropes early - criticised for his timing, and taking body blows from the judges before getting a lowly score of 20 out of a possible 40.
Almost 12 million fans tuned in on Saturday night and saw Audley and Natalie find themselves in the bottom two with former EastEnders actress Anita Dobson and her partner Robin Windsor.
But a public vote went in Anita's favour and she remained in the competition.
Asked what his Strictly highlight was, Audley said: "There have been many. There have been a lot, a lot of highlights.
"I've really enjoyed myself. Imagine the first week I was 100/1 to go out, so hopefully all those people who lost money on me with the David Haye fight, hopefully they got their money back.
"It's been great, I had a great time... I really enjoyed it."
His partner added: "I just want to thank all the people at home who voted, who kept us in. It's been a great journey. Thank you."
Next week's show will be the biggest in Strictly history, filmed in front of a 6,000 strong audience at Wembley Arena.