But the Denmark centre-back has pledged to stay at the troubled club.
Agger, who was linked strongly with a move to AC Milan when contract talks stalled in 2009, said: "I'm a little surprised because I didn't see it coming 100 percent. Of course there has been a lot of talk about it but I didn't see it coming right now.
"The time with him was good. He's a good manager, he knows his stuff and he knows what football is about. When I return from my summer holiday I'll see what's new.
"But his exit has no bearing on my future. I'm committed to Liverpool."