The German explained he wasn't able to say much because of "legal matters", presumably relating to his severance deal with the club.
However, he did tell me: "I didn't see that (the sack) coming at all.
"I always had a good relationship with the owner and he had talked about wanting to build."
And it's true that little more than two weeks ago, Massimo Cellino had said Rosler was the perfect manager for him and that he would appoint him again given the opportunity.
Yet he pulled the trigger following the last-gasp 2-1 home defeat by Brighton on Saturday.
Now, it seems a truism that the best route to success in football is stability. That's not always the case, as Watford showed last season, changing manager several times yet still being promoted to the Premier League.
What you DO need, however - and what Watford did have - is continuity of culture and philosophy from the top of the club.
So what is the footballing culture and philosophy of Leeds United under Massimo Cellino?
The Italian has had six managers in 18 months of ownership, each with a completely different style of football and man-management. He has also had several different chief executives.
Last summer, most of the signings came from the Italian second division and in came a managerial novice with (we were told) great coaching ability, Dave Hockaday.
Hockaday quickly came and went and in came a foreign coach, Darko Milanic. He was deemed too defensive. Following a highly successful stint as caretaker and, perhaps, a lack of other choices, Cellino went for the homegrown option in Neil Redfearn.
And that (to me, anyway) seemed a good fit. Redfearn knew Leeds United inside out and had brought through the likes of Sam Byram, Lewis Cook and Alex Mowatt at the club's academy.
And he did well. Until Cellino took away his assistant, Steve Thompson, for reasons which are still not clear even now. Thompson, currently assistant to Simon Grayson at Preston North End, has not been given a clear reason for his suspension and has decided to move on and get on with his job at North End.
Then, of course, there were the 'sicknote six', who, at the very least, thought they could pull out of a game against Charlton for questionable reasons without facing censure from the club.
In the summer, Redfearn's contract as head coach was not renewed and he decided to move on.
From my conversations with Cellino, it became clear the Italian had been frustrated that Redfearn had not been talking to him enough or heeding enough of his advice. "Why doesn't he call me?" he said.
Onto Rosler, an experienced and capable coach.
The recruitment in the summer was decent, with the emphasis on players with knowledge of the Championship, and there have been some promising performances. Results have been poor though, meaning Steve Evans, a combustible character who has plied his trade at unfashionable clubs, is now in the hotseat.
Six managers under Cellino - Brian McDermott, Hockaday, Milanic, Redfearn, Rosler and now Evans - each with a completely different style of management and a completely different style of football.
One is left feeling desperately sorry for the likes of Cook and Byram. Any young player needs developing and needs consistency of message and coaching.
That can often be the difference between a player reaching his full potential and being an also ran. Any player will tell you that. What might Byram have achieved had he been under the tutelage of Roberto Martinez at Everton instead of six different managers in 18 months at Leeds?
And did it help Rosler - or the player - when Cellino came out in the press and slated him for not signing a new contract, one which had been offered on worse terms than he is currently on?
And, of course, one is left feeling desperately sorry for the fans: again caught up on the whim of a capricious owner. It feels like groundhog day. There was stability with Adam Pearson and Rosler, just like there was stability with Matt Child and Redfearn last season, and now, again, there is none. And so the cycle goes on.
Always someone else's fault and always better days ahead. Only it never quite works out like that.