The Northamptonshire vicar and former popstar said he was sorry to exit the show so soon but he "can't quibble" with the judges' decision.
The 55 year old said: "It's just wonderful to come together with a group of people you've never met before, and have such an intensely joyous experience.
"So many people working so hard to just make the most out of it is just a joy and I'll remember it forever."
Rev Coles and his dance partner Diane Buswell ended up on the dance-off stage against chef Simon Rimmer and his professional partner Karen Clifton on Sunday evening.
Judges Shirley Ballas, Craig Revel Horwood, Bruno Tonioli and Darcey Bussell unanimously agreed to save Rimmer and Clifton.
During the movie-themed round of the competition, Coles and Buswell's Flash Gorden-inspired performance received the lowest mark on Saturday's leader board, leaving them vulnerable to elimination.
Following their last dance, Buswell told viewers: "I'm super proud of what he's done, he's a non-dancer and he's come out here and he did everything I said to him and was not afraid of it which was amazing. I could not be more proud of him."
"I have had the time of my life and he is a friend for life."