The Dragon's Den star became the seventh celebrity to be eliminated from the show after the judges chose to save Tilly Ramsay and Nikita Kuzmin in the dance-off. And the 37-year-old businesswoman revealed she cried all day afterwards, as she was not ready to leave.
Davies, 37, told Strictly: It Takes Two: “I spent yesterday being really gutted and wallowing and feeling sorry for myself and Aljaz kept trying to call me and I didn’t want to talk to him because it would make me cry even more!
"Even my five year old kept saying, 'Mummy why are you crying, grown-ups shouldn’t cry?!' So I had a word with myself this morning and Aljaz took me for lunch and I feel a lot better.”
Watch: Sara Davies cries at the thought of not dancing with Aljaz again
The entrepreneur — who founded a successful crafting supply company in 2005 — and her professional dance partner Aljaz Skorjanec were awarded a score of 32/40 for their Argentine Tango, putting them right in the middle of the leaderboard.
Ramsay had been scored 29/40 for her Quickstep on Saturday night, but the judges all chose to save her in the dance-off.
Asked if she had been surprised to be in the dance-off Davies said: "You know what they say, the middle of the leaderboard is a really dangerous place to be.
"We’ve had it before when we’ve been at the bottom of the leaderboard and everyone’s come out to support us, so I was so pleased that everyone did that for AJ after she’d had those really bad comments.
"Then you’ve got your frontrunners who just did unbelievable dances, Rhys, Rose and John, and I’m so thrilled. So I guess I was surprised but if I reflect on it I probably shouldn’t have been.”
TV presenter AJ Odudu - who up until this week has achieved top scores for her performances - was placed bottom of the leader board this week with a score of 28/40 for their Paso Doble, after a wardrobe malfunction caused Odudu to trip on her dress.
CBBC presenter Rhys Stephenson scored a perfect 40 for his Charleston this week, while former Bake Off winner John Whaite and EastEnders star Rose Ayling-Ellis both impressed the judges with their performances.
Watch: Who is Strictly's Sara Davies?