The Potters announced earlier on Tuesday that the Welshman had agreed to exit the Britannia Stadium via mutual consent with Etherington saying it certainly was a surprise.
"I've spoken to a few of the other boys and they're shocked as well, it's hit us," he told talkSPORT.
"Fans were grumbling saying they wanted him out or wanted a change but it looks like they have got their wish.
"You have to be careful what you wish for in football sometimes. You look at Charlton under Alan Curbishley and look where they are now.
"Hopefully it won't go that way for us, hopefully we'll get someone in who will push us on and make us into a top-10 team.
"If you look at where Stoke were when he first came in - mid-table in the Championship - you can't argue he's done a fantastic job."