The Northern Irishman was given his marching orders following the 1-0 loss to Manchester United on Saturday with the Black Cats falling to 16th on the table, just a point above the relegation zone.
Rodgers felt it was a very premature decision by Sunderland to oust O'Neill, describing it as a 'sad day' for football.
"I was very surprised," said Rodgers. "Whenever someone of the status of Martin O'Neill loses his job, then we all have to be on the back foot.
"This is a guy who has been in the game for many years, has many years' experience, went into Sunderland and picked them up off their knees.
"Okay, they are going through a difficult time, but he is still a top-class manager.
"I hear the same things about Stoke and Tony Pulis. I think some clubs need to be careful. They need to understand where they are at. They won't always be on the front foot going forward.
"There are some times when the club just has to be stable and guys like Martin O'Neill losing his job, it's a sad day."