The former T4 presenter confirmed on Twitter in January that he will not be returning to host a second season of the Fox contest.
He had been tipped to be axed from the show since late last year, with insiders claiming that only a "miracle" would save his job.
Speaking to The Sun, Alex claimed that her former partner feels more at home on their current show Let's Dance For Sport Relief and has understated his disappointment at losing the X Factor role.
"It's been great having him back. He was away for the majority of last year as he went shortly after the last Let's Dance," she said. "It has been nice to see him on a friend level as I haven't seen him for a while.
"It is nice for him to be back on a show he feels comfortable on and with a co-host he has known for a long time. Steve is a typical bloke, he is not one to wear his heart on his sleeve - but the whole X Factor thing was an interesting time."
Alex also joked that she did not expect Steve to follow in her footsteps and compete on Strictly Come Dancing.
"Steve's dancing is awful. He is like a big gangly giraffe when he dances," she revealed. "We have danced in nightclubs a couple of times, and then I was like, 'Sit down, no!'
"I don't think he can believe I did Strictly, but you will never see him on that show! That is one of the things I am most confident about in life."
Let's Dance For Sport Relief continues tonight (February 25) at 7.10pm on BBC One.
> X Factor USA Steve Jones: 'No hard feelings over axing'