It was confirmed on Friday that the 56-year-old had left Selhurst Park by mutual consent just a day before the start of the new Premier League season, after a reported breakdown in relations with Palace co-chairman Steve Parish.
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The caretaker boss, who briefly took charge last term before Pulis was appointed to replace Ian Holloway, revealed he had been stunned when the news was broken to him late on Thursday.
"Myself and the staff are shocked," Millen told a media conference on Friday.
"We knew the frustrations of the club, that we hadn't brought in the players that we wanted at the moment, but when you look at [Brede] Hangeland, [Fraizer] Campbell and [Martin] Kelly – they are three great signings.
"All I can say is from a football point of view he [Pulis] was more than happy. He's got a good group of players that he got the best out of last year. We've added to the squad, that's made our strongest XI better, I know he was happy on the training field and we've had a good pre-season.
"We had no inkling that this might happen. So to get the phone call last night and to come in this morning was a big shock to us all.
"[It was only] last November, I think it was, when Ian [Holloway] left the club and I stood in, so I wasn't expecting to be sitting here a day before the season's going to start."
Reports have suggested Pulis and Parish clashed over the potential signing of former Palace forward Wilfried Zaha from Manchester United.
However, this was denied by Millen, who revealed the club remain interested in signing the 21-year-old.
"There certainly wasn't a disagreement," he added. "When the chairman did come to the training ground we did talk about players and improving the squad, but that was just a normal relationship.
"He's [Zaha] a name we've mentioned all summer, as staff we sat down and spoke about the fors and against because we know Wilf, we've worked with him before.
"So that discussion has been going on all summer - we do need to strengthen in that area and Wilf ticks a lot of boxes.
"But we don't know if Manchester United have made him available."