Grealish was dropped by coach Gareth Southgate for England's final Euros squad.
Walker told ITV: "Shocked because I know what Jack can do.
"Was I shocked because of the players he's (Southgate) brought in? No because I think they're all at a great quality and they've all had fantastic seasons.
"I think Jack would be the first one to say he could have had a better season. I think he's come out publicly and said he could've had a better season.
"So what does the. manager base it on? Form or people that he knows and that has had good tournaments or a good season, the season before, you know.
"You're here on merit and I believe always it should be like that. That you're in this team because you've played well for your club which then puts you into the England fold."