Kim DeJesus remembered her part of the conversation.
"We've pretty much been ejected from the game, there's not much hope for us," Kim said. "We're in the ninth inning and we're down by 15."
And at the reality show's last checkpoint on Sunday night, Kim, wife of Rays outfielder David DeJesus, and Nicky, wife of Royals second baseman Chris Getz, were thumbed out. It was over after eight episodes of chasing a million-dollar prize through Chile, Portugal, Norway, Poland, Austria and the United Arab Emirates. The girls were in sixth place and, next stop: home.
Actually, they'd been back in the U.S. for quite a while after filming the Sunday night program during a month of summertime traveling who knows how many thousands of miles.
"Definitely more than the guys travel in a baseball season, let's put it that way," Nicky said.
They were among an original 11 teams and found themselves involved all manner of bizarre contests -- such as dressing a camel for a beauty contest and singing with the Vienna Boys Choir. It was Nicky who got to stretch her vocal chords backed by the world-renowned choir.
"Chris goes, 'Maybe you should try out for American Idol,'" Nicky said. "I was so embarrassed because I am totally tone-deaf and not only are you singing, but you're singing something in German."
For Kim, paragliding in Chile was the scariest adventure.
"You're up in the air and you're over a building and if you fall, you're pretty much toast," she said.
Height wasn't one of Nicky's favorites either.
"I think the bungee jumping in Norway, for me, was the scariest," she said.
The baseball season was winding down when "The Amazing Race" hit the airwaves, so the husbands got to view the episodes with their wives.
"Chris was watching and he and David were texting throughout all the episodes, making fun of us," Nicky said. "I think they found it really entertaining, but I think they also were surprised with how well we did."
David had kind words for the effort.
"They surprised a lot of people, but I wasn't surprised," DeJesus said. "They're competitive, they're married to competitors, and I feel that once you get in a race, you kind of do whatever it takes to get by. They had some tough times, but they were able to manage the game."
Also watching was the DeJesuses' 3 1/2-year-old son, David Kingston, known affectionately as "Spidey."
"He watched it, but he'd get scared," his mother said. "Now, whenever I'm gone, he thinks I'm on 'The Amazing Race.'"
The show follows NFL football and "60 Minutes" and has a big following. The girls were seen worldwide as they traveled the world.
"I thought they handled themselves with class," Chris said. "Nicky's got a Twitter account and she's got so many people across the world that were so supportive. I never read a bad thing. They came across very likeable, as they are."
Their final adventure on Sunday night went against a telecast of the epic NFL clash between the Chiefs and the Broncos. So when Nicky texted friends in Kansas City to remind them to watch the show, she got a predictable answer.
"I got so many responses back like, 'Are you kidding? The Chiefs game is on, but we'll DVR it,'" she said. "So I don't know if people have watched it yet."
When they do, they'll see Kim and Nicky's dune buggy get stuck in desert sand, see them swimming through man-made waves and getting sabotaged by a rival team.
They were branded as the "Baseball Wives" for the show, but they preferred to be called the "Bunnies."
"We were like, 'We're a little bit more than just baseball wives, so why don't you just call us team 'Bunnies' because that sounds sweet and fun.' So that's how we got that name," Nicky said. "But for the last episode, we needed something that's a little more dangerous than the 'Bunnies' so we were going to be the 'Ninjas.'"
But then they struck out. They went back to their softer persona.
"We were not very good ninjas," Kim said. "We were a lot better being cute and cuddly and hugging everyone."