"I will miss everything," said the BBC Radio 2 presenter. "Especially James and dancing, the glamour, the sequins and the fun of it all.
"Thank you very much indeed for having me," she added. "It's been a lovely, lovely time."
Vanessa Feltz and James Jordan
Vanessa and James found themselves in the bottom two along with fashion designer Julien Macdonald and his partner Janette Manrara and each couple then battled it out to remain in the competition before their fate was decided.
Both couples performed their love-themed routines again with Vanessa and James dancing their Tango to Lay All Your Love On Me by Abba in a bid to impress the judges while Julien and Janette Jived to Everybody Needs Somebody To Love by Blues Brothers.
"Funnily enough Vanessa, I thought you danced a little better in that second dance," head judge Len Goodman told Vanessa. "However I would have gone for Julien and Janette."
Julien Macdonald and Janette Manrara
Len's fellow judges, Craig Revel Horwood, Darcey Bussell and Bruno Tonioli all also chose to save Julien.
Now, with both golfer Tony Jacklin and Vanessa gone, 13 celebrities remain in the competition including Ashley Taylor Dawson, Sophie Ellis-Bextor and leaderboard favourites Natalie Gumede.