"We were just starting to really cook, so it was sad to go, but somebody had to go," he said.
Henderson said she will miss performing on Dancing with the Stars and noted the judges will no longer have their "sexy senior" to critique.
"I'm bringing sexy back, that's all there is to it," she joked. "I just can't help it, it oozes out of me."
In addition, the former Brady Bunch star said she hadn't had to think long about what television show theme she wanted to perform to when she learned this week's Dancing with the Stars' performance show would be "TV Theme Week."
"I couldn't imagine having TV theme week and not dancing to The Brady Bunch theme, and I was glad to do it because I dedicated it to Robert Reed, who was my Brady and he died of AIDS. It was very important to me to dance to the theme song and dedicate it to him," Henderson said.
Both Henderson and Ballas said they feel any of Dancing with the Stars' seven remaining eleventh-season couples could end up as the season's eventual champions.
"At this stage, I think it's anybody's game. I mean I think this is a strange season, so I really do think each week we're going to be surprised," Ballas said. "It's going to be really close, I think."
"It's like Corky says -- it's anybody's show to win, I think. Or lose," Henderson added.
However that didn't stop Henderson from revealing who she considers the favorites to win.
"I think [Brandy Norwood] is really coming on strong, I think [Jennifer Grey] obviously is a dancer. But you know, you've got to look out for Rick Fox, he's awfully good," she said.