The BBC Breakfast host finally left the BBC dance competition last night after weeks of evading the dance-off, despite low scores from the judges, and Morgan pointed out he only came fifth in the contest.
Walker responded pointing out he had been able to gracefully take criticism from the judges, including Craig Revel Horwood, each week.
Walker, 44, tweeted: "I did think about walking off when @CraigRevHorwood gave me some grief in week 2 but… who does that?"
Accompanied by a clip Morgan for storming out of the Good Morning Britain studio during a discussion about Meghan Markle's interview with Oprah Winfrey - which led to him quitting the ITV breakfast show in March.
Morgan had replied to Walker's praise for his dance teacher Nadiya Bychkova saying: "You came 5th, mate. She needed a better pupil."
Walker also thanked "angry" trolls for spurring him on in Strictly, but admitted "the right people" are through to the semi-finals.
Walker tweeted: "I’m sad it’s over but I’m so thankful it happened. We had an amazing run & the right 4 people are in the SF - Rose, John AJ & Rhys are all brilliant."
He added: "Thank you for all your gorgeous kind comments and thanks to the angry lot for spurring me on to work harder."
Walker and Bychkova were voted out by all four judges in a dance off against AJ Odudu and Kai Widdrington which gave Odudu the chance of a second try at a disastrous lift that had put them in last place.
The BBC journalist had previously shared abusive messages he received on social media after fans voted him back in each week.
Walker tried to laugh off the messages he had been send by trolls as he shared them on Twitter.
He joked: “'I hope you go bald' is just the best ever. I’m also intrigued by how you would go about suing someone for their dancing!"
And the TV presenter had confessed even he was surprised to have got so far in the competition, and admitted he had expected to be voted off in Week 2.
Walker repeatedly escaped the dance-off until quarter finals week, despite being placed bottom or close to the bottom of the leaderboard by the judges' scores.
Watch: Dan Walker voted off Strictly after finally landing in dance-off