The former Manchester United defender took over from Steve Kean in October with Rovers fifth in the Championship but was removed from his post just 57 days later with the Lancashire outfit languishing in 17th.
The 43-year-old, who won just one of his 10 games in charge of the club, has thanked fans and the squad for their support during his tenure in a statement to the League Managers' Association.
|9/1||Blackburn are 9/1 to be promoted from the Championship with Paddy Power|
It read: "It goes without saying that I am bitterly disappointed to have been relieved of my managerial duties at Ewood Park after just 57 days since my appointment.
"At this stage I would just like to release a short statement thanking the Blackburn Rovers fans for their incredible support during my time in charge.
"I have always enjoyed a fantastic relationship with them dating back to my playing days where we shared some great memories. It was an honour for me to manage a club that is so close to my heart and I now wish all of them every success for the rest of the season and beyond.
"I would also like to thank the players and staff for their support and commitment in this short period. They have all done their best and unfortunately the results in these ten games have not reflected their performances.
"I wish the club all the best in the future, and are sure that with a few additions in the January Transfer Window, they will have a good chance of getting a play-off place."