The couple was ousted during the fifth week of the competition based on a combination of their judges scores from Monday night's performance episode and home viewer votes cast immediately following the broadcast.
"This definitely doesn't feel good," she told Kimmel.
Despite being sad that herDancing with the Stars experience is over, Coughlin said she can now focus on training for the Summer Olympics in 2012.
"That's the goal from here on out," she said. "[The Olympics] are a little bit more important to me than this and I'm looking forward to getting back to something I'm good at."