In scenes to air on tonight's episode, viewers will see the moment David tells Big Brother he'll have to withdraw from the process because he's too poorly to continue.
He says he needs bed rest and won't get that in the house.
"I've been so sick, and I'm really sad as I wish I could stay," he tells the Diary Room.
"It's something I will never forget. I want to thank all the people that have been supporting me, I want to tell all the cast mates that I love them and I love this country for its support. Thank you Big Brother."
A rep for Channel 5 said today: "Due to medical reasons, David Gest has decided to leave the Celebrity Big Brother House. His exit will appear in tonight's show on Channel 5 at 9pm."
Housemates were gathered together in the living room to be told, with Big Brother delivering David's final message to them.
They were told: "This is Big Brother. David has left the Big Brother house for medical reasons. David wanted to let you all know that he loves you and he is sorry but he was too sick to continue."
The nature of David's illness has not been revealed but CBB viewers knew he had been unwell recently, as he has been shown sleeping in a separate part of the house to get some rest.
David is the second celebrity to quit the show this year. Kim Kardashian's best friend Jonathan Cheban walked out last weekend after growing claustrophobic and feeling the fun atmosphere was starting to change.
Tonight, Monday 18th January 9pm on Channel 5