The 41-year-old professional dancer told ITV's Lorraine he was "in shock" following the decision.
Cole, who has appeared on the show since it began in 2004 - the year he won with news presented Natasha Kaplinsky - announced the BBC had not renewed his contract for the next season. They made an editorial decision not to have me on the show.
He said: "I'm a little bit in shock at the moment".
Cole said he had enjoyed "15 incredible series". I'm a very strong character, some don't like that.
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Over the years Cole has partnered with Fiona Phillips, Kelly Brook, Lulu, Kirsty Gallacher, Anastacia and more.
"Wishing him all the best in his future endeavours".
Meanwhile, a Strictly spokesman wrote: "We'd like to thank @BrendanCole for being part of the show since the beginning - victor of the first series - and for the contribution he has made to its success".
Charlotte Hawkins doesn't think Strictly Come Dancing will be the same without Brendan Cole.
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"It's an editorial decision". I'm quite emotional and a bit raw about it. As sorry as I am to not be asked back, I'm excited to see what the future brings'.
He said his recent "partners ... haven't been able to do what I've wanted to do. Absolutely appalling decision he's the best dancer on there and the main reason I watch @bbcstrictly".
Cole received many messages of thanks and support, with some saying the show would not be the same without him. "I would have preferred to have made the decision myself but maybe I would never had made it".
In his last series, the New Zealander teamed with Good Morning Britain presenter Charlotte Hawkins and was eliminated in week four.
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