"It surprised me a little bit. ...That's the show, you never know," Henderson said on "Good Morning America." "I think that's part of the excitement in watching it. You never know who's going to go. ... I had such a ball."
Henderson, best known as mom Carol Brady on the classic hit TV series "The Brady Bunch," received her best scores yet from the judges for her tango to the "Brady Bunch" theme song. But it wasn't enough to save her from elimination.
Upon learning she was the fifth competitor to be be voted off this season, Henderson flashed a smile and kissed her professional partner, Corky Ballas.
"I've loved this show since it began," she said. "I hope I've inspired people to get up off their behinds and live and dance and enjoy life."
Henderson, who at 76 was the oldest competitor in the show's 11th season, received straight sevens from the judges this week.
"Parts of that tango were excellent," show judge Len Goodman told her, according to the "Dancing With the Stars" website. "A couple bits were a little bit too frantic ... but I think that's possibly your best dance so far."
Judge Carrie Ann Inaba called Henderson a "sexy senior" for her performance.
Over the course of the show, Henderson danced her heart out, shaking it up with a racy rumba that raised some eyebrows.
"I just can't help it. ... It just oozes out of me," she said on "GMA." "I'm bringing sexy back, and that's all there is to it."
Despite being voted off, Henderson was full of praise for "Dancing With the Stars."
"I have been in television for over 50 years," she said, "and I have to say, in all honesty, that this is one of the best produced shows I have ever been on."
She singled out members of the show's cast and crew, its judges, "and most of all, this darling man, Corky," she said, referring to her dance partner.
In a voiceover segment after her departure, Henderson revealed why she loved the show so much.
"At my age, you can still be hot and sexy and mix it up," she said. "I feel like a kid again."
"It was surreal for me," she said. "It was like, 'I'm actually finally dancing on "Dancing With the Stars."'"
As the show closed and Henderson and Ballas embraced on the dance floor for one last time time, Grey, who was the first of the three to learn she would be returning, appeared close to tears.