Kidd told ESPN that the All-Star gave him a phone call about 15 minutes before the coach was officially relieved of his duties.
"He called me and said, 'Coach, this isn't right what they're about to do, but [they] are gonna let you go,'" Kidd said of Antetokounmpo.
"'What can I do? I'll call the owners, I'll call my agent,'" Kidd said Antetokounmpo replied.
"There's nothing you can do. All you can do is tell the truth. That's it," Kidd said.
The Bucks own a 23-22 record and are currently No. 8 team in the Eastern Conference.
"We appreciate everything that Jason has done for the Bucks organization, but we have decided to make a coaching change," Bucks general manager Jon Horst said in a news release Monday. "We believe that a fresh approach and a change in leadership are needed to continue elevating our talented team towards the next level, bringing us closer to our goal of competing for championships."
"Jason led a historic turnaround during his first season and would guide our team to two playoff appearances. He also played a meaningful role in helping to keep the Bucks in Milwaukee. We thank him for all of his contributions and wish him the best."
Kidd had a 139-152 record in three and a half seasons with the Bucks. Milwaukee reached the first round of the NBA Playoffs twice under Kidd.
Bucks assistant Joe Prunty coached the team Monday to a 109-105 win against the Phoenix Suns.
Milwaukee has not advanced past the first round of the conference playoffs since 2000-2001 season.