Pieterse's pro partner, Gleb Savchenko, also said he was 'really proud' of the actress for how far she's come since the show started.
Pieterse and her pro partner, Gleb Savchenko, were eliminated at the end of DWTS's Disney Night on Monday, and the pair spoke with ET's Keltie Knight after the show.
"I'm not mad, I'm just really bummed. I really wanted to be here," the Pretty Little Liars star shared. "It sucks, but I made some amazing friends, I had such a good time, and I feel like I'm just grateful."
One thing she's particularly grateful for is Savchenko, whom she's become fast friends with over the course of the season. They're so tight, in fact, that Pieterse's pro partner is going to give a few lessons to her fiance, Hudson Sheaffer.
"[Gleb] can't get away from me that easy, he's going to teach my fiancé how to dance," she said, smiling.
WATCH: Sasha Pieterse Channels 'The Little Mermaid' on 'DWTS's Disney Night, Reveals She's Lost 37 Pounds
Going into Monday night, Pieterse and Savchenko were tied with five other couples for fourth place, having earned a score of 24 out of 30 for their foxtrot during the show's Most Memorable Year night last week.
So, while they weren't near the top of the leader board, they had been in past weeks and they weren't really on anyone's list of stars who were expected to go home tonight. (The same goes for Frankie Muniz and Witney Carson, who were one of the other couples to earn a 24 last week and also found themselves in jeopardy during Monday's elimination.)
Savchenko admits that the elimination was just as much a shock to him as anyone. "I never thought it would happen. I thought we have another couple of weeks at least," he said. "But it's a dance competition, someone's gotta go and unfortunately it's us."
"I'm so proud of my partner," he added. "She came so far, she did such a good job tonight. You've shown such a huge improvement and as a teacher, I'm really, really proud of you."
Throughout the season, Pieterse, 21, got candid with Savchecko and her fans about her battle with Polycystic Ovary Syndrome, a hormone imbalance that led to her gaining nearly 70 pounds in around two years. On Monday, she revealed that, since joining the show, she'd managed to lose 37 pounds and previously said that the show has helped her to start "feeling like me again."
WATCH: 'DWTS': Jordan Fisher & Lindsay Arnold Earn Perfect 10s for 'Moana' Foxtrot on Disney Night
So for Pieterse, this season has meant more to her than just a chance to improve her dance skills -- it's given her the opportunity to change her life.
"It really has been an incredible experience and you can't really describe it unless you're doing it. It's been amazing for my soul, for me just getting back to who I am, [and] obviously for my body and my health," she shared. "I'm just really glad that I was able to have the platform to talk about my situation and I had so much fun."
Check out the video below to hear more from Pieterse about how DWTS has contributed to her weight-loss journey.