The judges and audience voted out the talk show host on Wednesday night, at which point she removed her Lips costume and revealed her identity
The Masked Singer
Lips; Wendy Williams
| Credit: Michael Becker/FOX; Lars Niki/Getty

Before heading back to work on her own talk show in New York City, Wendy Williams flew to Los Angeles and stepped into the spotlight on The Masked Singer.

Williams, dressed as Lips, paid tribute to the Big Apple on Wednesday night's episode by performing Odyssey's "Native New Yorker." Unfortunately, 56-year-old Williams' Masked Singer debut also served as her final number. But she still had fun.

"I was relieved to have at least done one," the Wendy Williams Show host tells PEOPLE. "Because normally that's something I don't do. I'm not a singer. I'm not a dancer. I talk. That's what I do. That's why I chose the Lips. But everybody was so kind."

The Daytime Emmy nominee knows Masked Singer host Nick Cannon quite well, and on Wednesday's show, he revealed that they talked on the phone recently. "You keep a great secret," Cannon, 40, told Williams.

"He knew right away," Williams tells PEOPLE. "After I finished singing, you leave and sit on the couch, and then Nick comes out. He's supposed to talk to the contestant who just sang. While he was walking to the couch, he's like, 'I know exactly who this is.'"

Below, Williams shares why she wanted to go on The Masked Singer, how she deals with critics and why she doesn't mind spending the holidays alone this year.

WENDY WILLIAMS: You have your own show, so why did you want to go on The Masked Singer?

PEOPLE: Well, they called. I said, "All right. I can't wait for quarantine to end to do a show like The Masked Singer. They're calling now, and we seem to have a captive audience." When a show as popular as The Masked Singer calls, you have to say, "Yes." I've been watching the show since it came on TV. I know Nick. I know Jenny [McCarthy]. I know Robin [Thicke]. I know Nicole [Scherzinger]. The only one I didn't know was Ken [Jeong], and now I know Ken. Our show was down for a moment [due to COVID-19], and so it was a perfect week to slip out to L.A. and then slip back. It was perfect timing.

Did it feel different to be a participant rather than the one hosting?

It was relieving. Instead of me asking questions and suggesting what people need to do and being at the front of the line, these people took my hand and led me any way they wanted me to go. And I felt perfectly safe.

Had you practiced singing during quarantine?

No. The song that I sang, I already liked. I didn't go for vocal training or anything like that. I am who I am. I sing how I sing. My most important thing was keeping the secret. My staff didn't know.

The Masked Singer
Wendy Williams performing as Lips
| Credit: Michael Becker/FOX

Why did you want to be Lips? It was quite a sexy costume.

Exactly. I've got really long legs and really long arms, and it looked really simple — like, just step in and get to singing. But it wasn't simple like that, because it was really heavy.

People always seem to have opinions about you or the opinions you express on your show, so how did it feel to be anonymous?

Well, once I opened my mouth, I figured for people who watch my talk show or who followed my career over the years, they would know my voice. It's not unusual, but it's a little distinct.

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Earlier this week on your show, you thanked your fans for watching and expressed your appreciation for them standing by you. What do you think your fans will say after seeing you on The Masked Singer?

"Oh, no, she didn't. Oh, yes, she did. This is very entertaining." I'm just Wendy. My overall thing is, "Go for it. Go for it."

Does it hurt that people can be so critical even though you have a positive message?

No. I mean, it might be tough for 12 hours. But I know how to bounce back and see the sun through the clouds.

Are there any songs that you wish you got to sing if you stuck around?

Well, I would have loved to have gotten to Eddie Murphy, "Party All the Time." I'm not one for slow-dragging music. I like upbeat music. And I like to jiggle my shoulders and I'm fun. I'm business, but I'm fun and I'm laughing. And so if I'd gotten to that song, I would've torn it down.

Wendy Williams

What else do you have coming up?

The holidays are here. I'm the only one here in New York. All my family is in Miami, so they'll all be together. I guess I'll eat a canned turkey or something by myself. Don't feel sorry for me. I'm well. I take my virus tests. I know people here, but I don't know where they've been. Don't drag those germs in my house!

Are you looking forward to your Lifetime biopic coming out? 

That is going to very exciting. The movie is called Wendy Williams: The Movie. It's so funny, because we went through so many titles only to come back to the most basic thing. I know the date it's going to be out, but I can't talk to you about that now. But soon-ish. They're doing a Wendy weekend on Lifetime, and I'm looking forward to it.

The Masked Singer airs Wednesday (8 p.m. ET) on Fox.