Valance's pro partner Artem Chigvintsev was forced to withdraw from last week's show due to a spine injury and Cole stood in for the Russian at the last minute.
"I felt like I was cheating on my husband," the Australian told It Takes Two.
"Obviously it's a little bit strange after seven weeks with Artem, but we had a great week together and we worked really hard at making it look seamless and like we've been together forever."
Cole claimed that the pair's rumba performance was the "most pressure" he'd ever felt on the reality show.
"The nerves were overwhelming," he confessed. "I would have felt so guilty and like I let him down if we'd been eliminated."
Valance is still training with Cole and Chigvintsev ahead of this weekend's Wembley special, while they wait for the Russian pro to be given the all-clear by the doctors.
Joking about working as a trio, she said: "Those two speak the language and I'm often to the side trying to work out what's going on. I often stand there nodding not knowing what's going on."
Valance will be dancing a quickstep on Saturday to Amy Winehouse's 'Valerie'.
> Valance blasts boring Kara Tointon reports