Ferguson on Wednesday announced he would leave his position, but stay on as a director and ambassador after 26 years in charge at Old Trafford and the Dane who played under the Scot for nine years could not believe that the 71-year-old was leaving his position.
"I'm shocked - I just can't make sense of the timing," he told Sky Sports News. "It has come as a bombshell, I really don't know what to make of it."
He added: "Yesterday I was really happy with what he had done this season, now this, I'm disappointed and very sad.
"He's always said the day would come when something in his life wasn't right, is it is hip operation (he will have this summer)? I can't see him retiring over that. (Until) he explains why, we can guess and guess.
"There is something there we don't know about, he won't retire for the sake of retiring, it is difficult to makes sense of it."
Schmeichel paid tribute to Ferguson's man management skills and the time he came to the stopper, just hours after being told he would not be signing for United.
"The thing about Sir Alex is that 95 per cent of players brought in he's been scouting them for a long time, and he handles personalities around football, for example the media, stuff like that very, very important to him.
"Everyone wants a bit of Manchester United, everywhere you go, you are Manchester United.
"My move didn't happen first time, it happened 12 months later. But the first time, he came over to Denmark, I met him at someone's house and it was him saying 'I just want you to develop I will come back in the summer', and he flew back to Manchester. That's the kind of guy he is, he knows what he wants, he knew I would work in the team."
Source: PA
Source: PA