The 'I Try' singer was booted off the competition in the first week after failing to impress the judges with her Viennese Waltz and her relay cha cha cha.
Speaking to Entertainment Tonight, partner Jonathan Roberts said: "Macy's absolutely torn up about being eliminated.
"She put her whole heart into the show. She feels like she let her fans down."
Gray had been due to appear with Roberts on last night's Jimmy Kimmel Live, alongside fellow eliminee Ashley Hamilton and his partner Edyta Sliwinska.
> Click here to read our recap of Dancing With The Stars week one