The 27-year-old Olympic gold medal ice dancer and 34-year-old professional dancer performed their last dance on Monday, and beat out Amy Purdy and Derek Hough for the win on Tuesday night's program.
"I'm kind of not really sure what's going on right now, much as I was at the Olympics," Davis told E! News later that evening. "I just feel so lucky."
"[It's] everything I thought it would be," Chmerkovskiy added. "This season's been amazing."
The duo exuded real chemistry throughout the season, leading many fans speculate the pair are dating in real life. The two spoke to Us Weekly on Wednesday, but kept mum about their rumored romantic relationship.
"You get to know people in really fun moments and in really challenging moments," Davis allowed. "I think that's why many of the relationships you form on the show keep going on long after the season's over."