Advocaat took the decision to stand down at the start of the month, following the Black Cats' less than satisfactory start to the season.
Shortly after resigning, the Dutchman said he did not expect his former club to avoid relegation this season.
Despite those remarks, Cattermole said there was no ill feeling at the Stadium of Light towards Advocaat.
"I was a bit surprised by Dick's comments," Cattermole told The Guardian.
"He's obviously not been happy and he's said something but we can't read too much into that. We know what's gone on inside the dressing room.
"Dick was great for Sunderland. He got connected with the club and really involved and emotional. But this season he made a few changes and, for whatever reason, it just didn't happen for him.
"At the end he came in and said: 'I've made a decision to walk away'. We have a lot of respect for Dick, the lads have given their best for him."