The former Baywatch beauty and her professional partner Damian Andrews were eliminated from the ballroom dance show on Tuesday (04May10) after the star found herself in the bottom two with American sports presenter Erin Andrews.
The result came as a shock to head judge Len Goodman, who called the public's decision "absolutely heartbreaking".
But Anderson insists she has no regrets about her performance and is "really happy" to have made it to the final six.
She says, "We felt we could go further, we could do more, but it's good, it's perfect. I'm really happy with where we ended up."
Anderson admits she was wracked with nerves the first time she stepped out onto the TV dancefloor but credits the show with helping her turn her fear into a source of fun.
She explains, "I was just having fun with characters. It was like a little play every week. It was a great experience."
And the actress, 42, is keen to incorporate her newfound skills in her future career moves, adding: "I wanna do something with music and dance."
The final five celebrities left in the TV competition include Pussycat Dolls star Nicole Scherzinger, Olympic ice skater Evan Lysacek and American footballer Chad Ochocinco.