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Speaking to the Press Association, the keeper commented: "I'm an experienced player, I've been through many pre-seasons - and this one was not right,''
"Did the news come as a shock? Yes and no. I'm disappointed for Steve, because [this decision] has come so soon after he became manager, and he was man enough to face up to us today and tell us the situation.
"I spoke to Steve today and told him my feelings on the matter, but what we said will remain between him and me.
"Steve was brought in by Jeff Burnige, and I think that when Jeff left the situation changed.''
With Millwall still without a chairman, it is widely believed that director Theo Paphitis is once again pulling the strings behind the scenes and played a key role in removing the former Lions Player of the Year from the managerial hotseat.
But Marshall recognises that it's not going to be easy for Claridge's replacement, Colin Lee, to get the squad into shape in time for the opening game of the season.
"It's not an ideal situation, but if the new manager is to be Colin Lee, let's get it done now and give him time to sort the team out.
"He did well at both Wolves and Walsall. He took training on Monday, he seems a nice fellow and I liked the session.
"But I hope he will be given money to bring in some decent players. You can't lose all the players we have lost and say it will not have an effect on the team.
"We need first-team players - not fringe players."