Benitez was sacked by the Toffees after just six months in charge earlier this week, with Everton 16th on the Premier League table.
Gerrard was Benitez’s captain when the Spaniard was in charge of Liverpool between 2004 and 2010, a period where the Reds won the UEFA Champions League and FA Cup.
Given his previous ties with Liverpool, Gerrard did not expect Benitez to accept Everton’s offer.
"I'm disappointed for Rafa because obviously I've got a relationship and I've got an awful lot of respect for him,” Gerrard said ahead of Aston Villa’s trip to Goodison Park on Saturday.
"I have to be honest, I thought it was a unique appointment at the time. I was surprised and shocked that Rafa wanted to go and have a go at that job. With his legacy and his relationship with Liverpool, that was a surprise.
"Obviously it hasn't worked out for whatever reasons. You'd have to be inside the club to know why, which is none of my business."
Benitez became the first manager since 1894 to take charge of both Merseyside clubs in a derby when he managed Everton against Liverpool last December.
