"It's a very difficult thing to dance and to present yourself in this way," Cho, 41, said on "Good Morning America." "What I'm so happy about is we got to have a moment to tell our story and to be ourselves and I'm so proud of that."
It was an emotional exit for Cho, 41, who cried when she and professional partner Louis van Amstel became the third couple to be voted off "Dancing With the Stars." Their samba to Barry Manilow's "Copacabana" garnered a score of 18 out of 30, the lowest total of the week.
The contestants were required to tell a story through their dances this week. Cho, an advocate for equal rights, performed in a yellow headdress and fringy dress bearing the colors of a gay pride flag, and told the story of a gay coming-out party.
"Our story was serious. It's a tough time for the gay community. A lot of gay teenagers have committed suicide. We want this to end now," she said after the performance.
On "GMA," Cho said the dance was really about pride. "When I was a young person I felt so overweight, I wanted to die," Cho said. "We want to impart that message of pride to all kids out there."
While the judges lauded her message, they were less than thrilled with her technique.
"I praise you for waving the rainbow flag," judge Bruno Tonioli told her after her performance, "but I think you lost your way out of the Copa. You had too many drinks, my darling."
During the judging, Cho called her dance "the gayest thing that's ever happened."
Upon being voted out, perhaps alluding to the poor reviews of her intentionally comic dance from week 1, where she got caught up in the trails of a gold fan that she wore as a cape, Cho said, "I thought the judges were really hard on me, but I think you were hard on me because you could see I am a dancer for real."
Even though she got the ax, Cho said she leaves with no hard feelings.
"We are rooting for everyone. Everybody is great," she said. "I'm so proud to be a member of this amazing club. It's a phenomenal cast."
Nine couples remain in the competition, including actress Jennifer Grey of "Dirty Dancing" fame; reality TV star Audrina Patridge; singer R&B/pop singer Brandy; former NBA champion Rick Fox; actress and author Florence Henderson; Kyle Orlando Massey, star of the hit Disney Channel program, "Cory in the House;" Bristol Palin, a teen abstinence activist and daughter of former Alaska Gov. Sarah Palin; Mike "The Situation" Sorrentino of the reality TV show "The Jersey Shore," and NFL Superbowl champion Kurt Warner.
Audrina Patridge and partner Tony Dovolani danced their way to the top of the leader board this week, earning an impressive 26 for their waltz.