Rose Ayling-Ellis, AJ Odudu and John Whaite discovered they had won places in next week's series final as all four judges chose to send Stephenson and his dance partner Nancy Xu home from the dance off.
They went up against John Whaite and Johannes Radebe, with the judges telling both couples it was the toughest decision they'd ever faced as they both deserved to be in the final.
Craig Revel Horwood said: “In all the years I’ve been doing the show since 2004, I really do not want to make this decision tonight. This has been one of the most amazing dance offs I’ve ever witnessed.
"Both couples are equal and both couples deserve to go through and I just want to put both couples through. I know I’m not allowed to do that so I have to choose. I’m going on the technical side and it’s to do with clean finishes. I’d like to put through to the final, John and Johannes."
Motsi Mabuse and Anton Du Beke both agreed with his judgment, and head judge Shirley Ballas added that she would have saved Whaite and Radebe, too.
The couples each had to perform two routines in Saturday's show and Stephenson chose his Samba for the dance off, while Whaite picked his Jive.
Stephenson said: “I might not have gotten to the final but I learnt so much from just being on this show, from everyone here who’s just supported us in this new family.
"To have the time to spend with this champion of a dancer who’s put so much into me. Thank you for just letting my energy shine. Thank you for being that partner. I should use your actual name which is Xu YouJie. Thank you so much Nancy Xu YouJie, for just being there, being my rock and everything I needed to get through this."
Next Saturday, Rose Ayling-Ellis and Giovanni Pernice, AJ Odudu and Kai Widdrington, and Whaite and Radebe will all compete in the grand final with three dances each.
The winner will be chosen in Saturday's show, succeeding 2020 champion Bill Bailey who won with Oti Mabuse.
EastEnders actor Ayling-Ellis and her partner Pernice are currently the bookies' favourites to win.
Watch: Who is Strictly's Rhys Stephenson?