The former EastEnders actress found herself in the bottom two last weekend, despite impressing the judges with her Argentine tango.
Dobson and pro partner Robin Windsor picked up 33 points for the routine, but still ended up in the danger zone with boxer Audley Harrison.
However, the TV star isn't letting the setback detract from her "wonderful" Strictly experience.
"It's something that I always wanted to do and not too secretly either. My parents used to ballroom dance, so in my head I always thought, 'Maybe one day I could do that'. I did secretly think I would love the show," she told Digital Spy.
"It's always been for me that I just want to learn to dance. I'd like to stay here for forever. I don't ever want to leave.
"For me, it's just the joy of doing it every day and using my body and having fun. Doing all the zany things they dream up for us is terrific."
She added: "After 30, 40 years of standing ramrod straight as an actress, it does feel alien. I'm slowly and gradually edging towards where I can dance and it's wonderful."
The Strictly Come Dancing Wembley special airs on Saturday (November 19) at 6.55pm on BBC One.
> 'Strictly' Audley Harrison: 'I'd have quit for Anita Dobson'