Their Cha Cha in week one left them near the bottom of the judges' leaderboard. With their Quickstep on Monday night, they came back as the "most improved." However, it was not enough to keep them in the competition.
"We are out, but for me it was a gift staying here," Canalis said.
David Arquette and partner Kym Johnson were on the chopping block with them.
They were officially in the dreaded bottom two, but they hope they can change that next week when they do the Rumba.
"We're pulling out the stops, including semi-nudity," Arquette said.
Judges' scores are combined with viewer votes to determine which celebrity is ousted each week. Basketball star Ron Artest, now known as Metta World Peace, was booted from the ballroom last week.
Tuesday's episode also included musical performances by Demi Lovato and rock band The Script.
After the show, Nancy Grace denied claims of a wardrobe malfunction after her Quickstep on Monday
"There was no wardrobe malfunction last night. Impossible," she said. "There's an industrial strength bra in here. A bra is sewn into the dress on top of that. Then there's the dress cover on top of these.
"I'm going to my grave deny, deny, denying it. No wardrobe malfunction. No nip slip. Can I tell you any more plainly?"
There was also some excitement before the show, too, when two audience members got married by an ordained minister under the mirror ball in a surprise, impromptu, untelevised pre-show ceremony.
"It took me quite a few years to ask her," J. Patrick O'Doul said.
"Forty-some years! I was counting!" added Gloria Watts.