The 41-year-old comedian cried after being eliminated from the hit ABC show, but vowed to continue dancing.
"I thought the judges were really hard on me, but I think you were hard on me because you could see that I am a dancer for real," she said. "And I thank you for that. I will take that with me forever."
Earlier in the season, Cho revealed that she had loved dance as a child, but quit when someone called her a "fat ballerina."
"Thank you for the opportunity to let me dance," she said. "I'm going to keep dancing."
Cho and her professional partner, Louis Van Amstel, came into Tuesday's episode in last place, collecting just 18 points out of 30 for their colorful, pride-themed samba. She performed in a rainbow dress and said she wanted to promote pride and self-acceptance after a rash of suicides by gay teens in recent weeks.
Judge Bruno Tonioli praised Cho for "wearing the rainbow flag," but he said he couldn't overlook her errors and faulty footwork.
Judges' scores are combined with viewer votes to determine which couple is ousted each week.
Tuesday's episode also included a trio of musical performances. A slimmed-down Ne-Yo sang his new single, "One in a Million." Michael Bolton, who was eliminated as a "Dancing" contestant last week, returned to the ballroom as a last-minute substitute for scheduled performer Susan Boyle, who was sick.
Bolton sang "Hallelujah," backed by a children's choir.
Pro dancers Mark Ballas and Val Chemerkovskiy (brother to the show's Maksim) performed a bizarre duel: Ballas played guitar, Chemerkovskiy played violin, then they each tried to outdance each other.
Returning to dance Monday will be actors Jennifer Grey, Kyle Massey and Florence Henderson; singer-actress Brandy; athletes Kurt Warner and Rick Fox; reality stars Audrina Patridge and Mike "The Situation" Sorrentino; and Bristol Palin.