The England captain was axed by Kevin Keegan ahead of Euro 2000 so knows how Walcott feels.
Ferdinand, 31, said: "I've been in the same position as Theo. I've not spoken to him but I am always around for the younger lads.
"I didn't go to the Euros in 2000 as Kevin Keegan dropped me. It was the worst feeling in the world - devastation. I can understand fully how Theo and the other guys feel. If he wants to talk to me, if any of the lads do, I'm here.
"I looked at myself and questioned whether I was training hard enough, was I giving my all to football, was I going out too much? I told myself I had to step up or I'd end up being a run-of-the-mill type of guy, playing in the lower leagues.
"No disrespect but I wanted to be playing for England.
"I can understand Theo went to the last World Cup as the young protege as part of his development for this World Cup really and it hasn't panned out the way people maybe would have expected it. But I'm sure Theo will go away and work hard to hit the manager between the eyes and make sure he's part of the next squad that comes after this championship.
"When I was left out, I wasn't really up for talking to anybody. I was deeply upset, embarrassed, my pride was hurt."