They survived back-to-back close-call legs, but cowboys/brothers Jet and Cord McCoy couldn't make another comeback on The Amazing Race: Unfinished Business Sunday. After Jet was the only Racer to redo the Roadblock of measuring the length of Liechtenstein — and was left out of the answer sharing circle — the fan favorites had their fates sealed when they were U-Turned by the Globetrotters in Zermatt, Switzerland. Still, the self-proclaimed "lone rangers" don't think their independent style of racing hurt them in a leg where so many teams worked together. "If we had an alliance with the Globetrotters, I think in the same situation, they would've done exactly what they did," Jet tells TVGuide.com. "An alliance might give you that warm, fuzzy feeling, but I don't know if it's going to save you." See what else the Season 16 alums have to say about their exit, if they would've used the U-Turn and why Gary rocks.