Shearer told BBC Sport: "I'm amazed, I really am amazed. Paolo Di Canio hasn't changed from the guy he was a year ago or two years ago.
"I assume, maybe naively, that Ellis Short and his chief executive did their homework on Paolo before they went and hired him to do the job at Sunderland.
"So they knew what his man-management style was like, it is very different.
"For them to give him £19m to spend in the summer and the power to let players like Stephane Sessegnon leave and then five games into the season say 'I'm sorry but what we've seen so far is not good enough, we're getting rid of you, we're sacking you' - I'm absolutely staggered.
"He hasn't changed, he was like that at Swindon. He had the rows with players in his previous job; we heard all the rumours about players not liking him.
"Surely the guys at Sunderland knew that and asked questions about what he was like. He hasn't changed; he's still exactly the same guy as he was beforehand.
"Not only have they appointed him - they've appointed a load of backroom staff that he brought in.
"Now the owner could say to the new manager 'you've got to work with the backroom guys that are here already'. It could cost them an absolute fortune."