Jackson announced his departure Thursday on the same day Keys performed her new single "Tears Always Win" on the show.
"I don't know if I'd want to be a judge," she said after her performance, quoted by People magazine.
"That's so sad," Keys said of Jackson's move. "I think he's amazing. I've really loved him for lots of years."
Current and former "American Idol" contestants echoed Keys' sentiment.
Season 10 runner-up Lauren Alaina said his departure is "kind of a bummer."
"He's been there since the beginning, and now none of the judges are going to be the same," she said.
Season 12 finalists Kree Harrison and Candice Glover will go head-to-head in next week's two-part finale for Jackson's last episodes.
"I feel honored," Harrison said of being part of Jackson's last episode. "Randy has always been so nice and humble. He always comes up after the show and gives us constructive criticism."
Glover said he should reconsider his decision.
"I definitely don't think any season after this is ever going to be the same without 'Yo Dawg,' " she said.