The Blue singer addressed his critics in a defiant post on Instagram, insisting viewers will have to “drag” him out of the competition.
The pair seemed especially shocked as their Jive on Saturday night had scored them 26 points, and they placed seventh out of 15 on the leaderboard when their scores from last week were combined.
Having failed to secure the support of the public and their votes, Lee later took to social media after the judges decided to save him and Nadia.
Posting a picture of a rhino, he wrote: “I didn’t survive in this industry for 20 years now without growing some thick skin like this dude!!
“I’ve been knocked down more times than a bowling pin - it’s how you come back fighting that shows the true strength and character of a person.
“You gotta drag me and @nadiyabychkova out of this show @bbcstrictly !!!”
After Susannah and Anton’s exit aired on Sunday night, she was the subject of tabloid reports she had thrown a “backstage tantrum” - something she has spoken out to deny.
Posting an image of the headlines on Twitter, she wrote: “Bollocks, bollocks and more bollocks.”
A BBC spokesperson added: ”[The story] is total nonsense. Susannah was a firm favourite amongst the cast and crew and we’ll miss her lots.”
Anton has also been forced to speak out against reports he’s quitting the show after this series, insisting he will be back “whether they want me or not”.
‘Strictly Come Dancing’ continues on Saturday at 6.30pm on BBC One.