The manager left Fulham last week.
Zamora said: "It was a total shock, him resigning. I was surprised.
"There was no hint of it. It leaves us waiting for another manager.
"It was going well. Everyone had bought into his ideas and were just starting to play the way he wanted.
"He has decided not to stay and we go on and try and find another manager and hope we do well.
"But Mark has got his reasons. I don't blame him at all. It's one of those things. Managers and players come and go."