The So Solid Crew rapper finished sixth in the series after receiving fewer votes to win than the Shannon twins, Gareth Thomas, Denise Welch, Frankie Cocozza and Michael Madsen.
Upon learning the news from host Brian Dowling, Dunn embraced his fellow housemates, before walking out to the sound of cheers from the audience.
Glamour model Nicola McLean left the house to a chorus of boos earlier.
Cocozza is the bookmakers' favourite to win this year's Celebrity Big Brother, which concludes on Friday night.
> Celebrity Big Brother's Nicola McLean: 'Denise Welch clash cost me'
Watch Romeo Dunn's Celebrity Big Brother eviction below: