The DJ, who scored 46 points for his two dances, exited the show on Sunday night, despite finishing above Paul Daniels, Ann Widdecombe and Peter Shilton on the judges' leaderboard.
Speaking about his departure on spinoff show It Takes Two, he said: "It's water off a ducks back to me. It's an entertainment show and that's how it is. But I feel really bad for Kristina because what is she going to do now? For me it was a bit of a shocker."
Goldie revealed that he had heard a lot of anger from viewers who thought he would have fared better under the old Strictly system, which featured the bottom two acts performing in a dance-off for the judges.
His dance partner Rihanoff agreed, commenting: "He worked really, really hard, working and training, putting in the hours. He wanted to prove that he was trying his best. I think the show went really well. It's just sad that it's all over, so quickly."
She added: "It would have been better for us if we had been in a dance-off."
It Takes Two airs on weeknights at 6.30pm on BBC Two.