After ranking in the bottom 2 last week, Finnessey was eliminated Tuesday from the ABC dance-off.
The game show host and former beauty queen said that her experience on the show was "amazing" and that working with her professional dance partner, Brian Fortuna, was "great."
"I just hope I didn't disappoint him," she said.
Despite high marks from the judges, Leeza Gibbons narrowly escaped elimination Tuesday. She and her partner, Tony Dovolani, also placed in the bottom two.
"The elimination is nerve-racking," she said. "It's insane."
Billy Ray Cyrus echoed that sentiment, calling results night "a real freak show." He added that all the dancing he's done has left him with "an achy, breaky butt."
Each week, judges' scores are combined with viewer votes to determine which couple will be eliminated.
Clyde Drexler earned the lowest score — 16 points out of 30 — but was kept afloat by fans.
Tuesday's results show also featured performances by Ciara, Josh Groban and the band Survivor, which played its 1982 hit "Eye of the Tiger."
Paulina Porizkova has already been eliminated. The remaining celebrity dancers are Gibbons, Cyrus, Drexler, Ian Ziering, Joey Fatone, Laila Ali, John Ratzenberger, Heather Mills and Apolo Anton Ohno. Each will perform the paso doble or the waltz on Monday's show.