De Rossi, 35, will leave at the end of the season.
Maldini faced the midfielder several times during his playing career.
“A player's chapter always closes at some point, but frankly it's something that surprises me," he told reporters.
“I didn't expect it, but he's always been a very independent soul. He'll know what he's doing and what he wants, even if it's certainly a painful choice, but his love for Roma is certainly not in question.
“As a player he's always been an captain on the pitch, with great character and technique. He's one of the most admired footballers."