Judges on the hit ABC TV show praised the 42-year-old throughout the season for her dedicated performances and convincing characterisation.
They appreciated the waltz she and professional partner Damian Whitewood performed, giving it a score of 24 out of 30. Viewers, though, failed to keep the Baywatch beauty afloat.
Judges' scores are combined with viewer votes to determine which celebrity is cast off each week.
"This has been one of the best experiences of my life - and that says a lot. I've had a lot of good experiences," Anderson said after learning her fate.
She thanked her partner and said she wishes her fellow dancers well. "I love everybody here," she said.
Anderson said that learning to dance allowed her to focus in a way she hadn't before.
"I'm really proud of the effort I've put into it," she said. "I've never been able to apply myself in this kind of way. This is a dream come true."
Whitewood said working with Anderson was something of a dream come true as well. "You've been an amazing person to work with and so dedicated to learning how to dance," he said, thanking her.
Five celebrities remain in contention for the mirrorball trophy: Singer Nicole Scherzinger, Olympic figure skater Evan Lysacek, actress Niecy Nash, sportscaster Erin Andrews and football star Chad Ochocinco.