The club announced yesterday that Pulis had left Selhurst Park by mutual consent after reportedly falling out with co-chairman Steve Parish over transfer policy.
Pulis was named Barclays Premier League manager of the season just three months ago after leading Palace to survival and an 11th-placed finish.
"We are all shocked, from the players to the staff," said Millen, who has been put in temporary charge for the team's opener against Arsenal this afternoon.
"We knew the frustrations of the club that we hadn't brought in as many players as we wanted but as far as training is concerned, we had no inkling this might happen.
"The players are asking why. This has happened now three times what with Dougie [Freedman] leaving and then Ian [Holloway] and now Tony. So they're asking why. It's important to reassure them they've done nothing wrong.
"Tony loved working with the group and they are a great group to work with. Now all of a sudden they're wondering who is going to come in and what direction we're going."
Parish and Pulis had disagreements in the initial period after the former Stoke manager was appointed in November but Pulis insisted at the end of last season their relationship had improved.
Palace have so far only signed Martin Kelly from Liverpool, Fraizer Campbell from Cardiff and Brede Hangeland from Fulham.