The 27-year-old hugged fellow contestant Stacey Solomon who beat him to secure a spot in next week's finale.
He said: "I might have gone out in the semi-final but I've gone out to some of the best people I've ever met."
Mentor Simon Cowell said he was "genuinely upset" at his exit.
The pop mogul told host Dermot O'Leary: "There is nothing more I could have done. It's just one of those things. He has gone out on a high."
The teacher from Reading was non-committal about going back to his career in the classroom.
He said: "I'm just going to see what happens. I'm looking forward to seeing my family and friends and maybe play a couple of gigs."
Danyl had looked certain to go through to the final after storming covers of Michael Jackson's Man In The Mirror and I Have Nothing by Whitney Houston in Saturday's show - despite earlier claiming that the diva "absolutely hated him".
Bookmaker Coral made Joe McElderry 1-3 favourite to win the series after the result.
Spokesman David Stevens said: "Joe has been hot favourite to win for several weeks now, and his latest performances showed why, and it would be the biggest shock since Will Young beat Gareth Gates in Pop Idol if he didn't win next week's final."