The TV journalist, who is paired with professional Tristan McManus on the show's 13th season, admitted that she did not expect to develop such close friendships with her fellow competitors.
"Our Dancing with the Stars group has become a family. We support each other, encourage each other and want each other to succeed," Grace wrote in a new blog post for People.
"When someone is having a hard time with a step or even just processing critiques from the judges, we all jump in. One thing I did not anticipate from this experience (aside from making it halfway through!) is how close we would all become."
Grace recently claimed that she did not initially plan to lose weight when joining Dancing with the Stars, describing it as a "great side effect".
Last month, she was forced to deny claims that she exposed her nipple on air due to a wardrobe malfunction during the season's second episode.