Harvey's name was read out, but she appeared blank for several seconds - then told host Dominic Bowden she hadn't prepared a farewell speech.
"It's been awesome, I got further than I thought I would," Harvey told Bowden."I've had a really great time, it's been so much fun, it's been awesome to have all this support," she said.
She later told TV3 she thought her best dancing had been done during her last week on the show.
"It would have been awesome to go to the top three - but they've got the best dancers there ... it was hardcore ... it gets easier every week. I think we did the best (dances) this week."
She later took to Twitter to thank fans and her husband Dominic Harvey for their support.
The Edge radio DJ had pulled out all the stops in Sunday night's double dance-off, dressing up like a naughty school teacher for one performance, before enlisting the help of Harvey for another.
Harvey later stripped to show off his underwear, which was adorned with photos of the show's three judges.
Read more: Jay-Jay's awkward three-way on DWTS
Harvey's elimination means Simon Barnett, Siobhan Marshall and Chenery will battle it out in Sunday's finale, before the winner is crowned on Monday.
- nzherald.co.nz