Host Holly Willoughby said: "I dont think we're going to hear anything from these two, Are you okay? Can you believe it? Did you ever believe this was possible?"
Read more: Dancing On Ice's Kimberly Wyatt placed third
Gascoigne, who sobbed as he hugged partner Karina Manta, said: "Never."
As he was excitedly lifted up by his fellow contestants in celebration, he almost dropped the trophy on the rink and broke it.
Gascoigne was emotional as he awaited the results, saying: "The whole day has been like whoosh, I'm trying to hold it together so much."
Regan and Karina are your #DancingOnIce 2022 winners!
They've gone from strength to strength every single week, and have formed such an incredible partnership this series. Congratulations @regangascoigne and @KarinaMantras! 🏆🎉 pic.twitter.com/Wh4VFzJ0oG
— Dancing on Ice (@dancingonice) March 27, 2022
Runner-up Cole, 45 said: "I've loved every second of this show, I'll be very sad when it ends. My body won't be, my body will be very glad of a rest."
The 40-year-old singer and dancer said: "Thank you so much, this has been such a beautiful experience and I'm so grateful to everyone for everything they've done for us."
Cole and Gascoigne - son of football star Paul 'Gazza' Gascoigne - went forward to perform their Boleros before the public crowned the winner of the series.
The performances are a nod to the fact that Torvill and Dean won gold when they performed to Ravel's Bolero at the 1984 Olympics.
The 2022 finalists all found fame as professional dancers.
All three performed routines choreographed by head judges Jayne Torvill and Christopher Dean, as well as their favourite dances of the series.
Gascoigne had to step to come to professional partner Karina Manta's aid after she suffered a wardrobe malfunction during their second routine of the night.
The show's final was initially expected to be on 20 March but was delayed by a week because of football airing on ITV.
And The Vamps star Connor Ball suffered multiple injuries during the series - including a cut to his face which saw him perform dripping blood on live TV.s during the series - including a cut to his face which saw him perform dripping blood on live TV.
Watch: Connor Ball falls and cuts his leg during Dancing On Ice