The 70-year-old went on Twitter to tell fans he had successfully completed his fourth Tango lesson.
The Big Yin had previously ruled out following in the footsteps of his sex therapist wife, Dr Pamela Stephen, by appearing on Strictly Come Dancing.
But his wife revealed last year that she had convinced Connolly to at least have a try, saying he cut a “dash on the dancefloor”.
Today Connolly told his 90,000 followers on Twitter that he is now a committed fan of the energetic, passionate form of dance.
He tweeted: “I had my fourth Tango lesson today.
“My God it’s more difficult than it looks! I’m loving it though.
“Can’t be long now before the hair gel.”
His remarks sparked an enthusiastic reaction from fans, with one, Eddie, writing: “If you end up on Strictly, I may just have to watch it!”
Another, “Dick Scrongle”, was quick to remind Connolly of his roots, tweeting: “All the ex-welders will be so proud up there in Glasgow – Yer big Jessie!”
And Mark Adams asked: “Are you learning the Tango to spice things up in the bedroom with Pam or are you thinking of entering Strictly Come Dancing?”
Apparently concerned speculation was getting out of hand, Connolly tweeted back: “Class! Settle down at the back!
“I’m appearing in nothing. I’m doing it for myself, in order to have the odd wee jig with the wife. Relax.”
After making it to the final of in Strictly Come Dancing in 2010, Stephenson revealed her biggest ambition was to convince Connolly to take up Tango.
Speaking at the time she said: “It’s very romantic and passionate and I think he’d be brilliant at it. And I could just imagine him with the slicked-back hair and the black and white shoes.”
Earlier this week, Stephenson revealed her husband told her she looks “like a Brazilian hooker” on holiday.
The former actress and comedienne had snuck off to go sunbathing semi-nude on a Mauritius beach.
But after Connolly joined her, Stephenson revealed: “He clocked me and a frown formed. Billy hates my ‘Brazilian hooker’ beach look and he was bound to attract unwelcome attention.”