Hasselbeck, 37, was one of the hosts of the ABC daytime talk show for 10 years until she left in 2013 for her job with Fox News.
During Friday's episode of Fox & Friends, she told co-host Steve Doocy she didn't see Shepherd's departure coming.
"I have not spoken to her in person yet," she added. "Set to happen, though."
"I was shocked, in some ways," Hasselbeck said, adding that she's sure Shepherd is also shocked. "Even if you think that might happen one day, I'm sure it would come across to be a shock."
Shepherd reportedly left the show because she and ABC couldn't come to terms on her new contract.
After Shepherd made her announcement, The View co-host McCarthy said she's leaving, too.
If Sherri goes... I go too. #sisters— Jenny McCarthy (@JennyMcCarthy) June 27, 2014
My View will be changing too. As will with many hard working folks. Thanks to everyone at the show for your dedication and an amazing year.— Jenny McCarthy (@JennyMcCarthy) June 27, 2014