The couple came in first place on the judges' leaderboard with 59 points out of 60 after two performances on Monday night's show, but the 33-year-old Extra presenter and 26-year-old professional dancer were voted out by viewers.
Menounos said to People: "Derek told me, 'Babe, I think we're getting eliminated tonight', And I said, 'Really? You think so? I don't think so'. And he [insisted we were], so I said, 'All right, cool, I'm going to prepare'."
However, the pair added that they were not distraught about leaving the competition so close to the final.
The TV host explained: "When we finished last night, I was so happy. I was over the moon. And I [told Derek that] I did what I had to do. I told him whatever happens from [this] point on, I'm proud of what I did."
Hough added: "Last night was so fun. I felt like that was it. Like that was [Maria's] night. She kicked butt. She got five 10s. That was her moment."
He even claimed that he would prefer to be eliminated this week than to be sent to the finals and not finish first.
He continued: "The finals are really stressful and really tough, and to be that close - that's harder. We went out on such a high note."
Watch Maria Menounos and Derek Hough dance the Argentine Tango on this week's Dancing with the Stars below: