Courtois ended his stay at Stamford Bridge to move to the Santiago Bernabeu for a reported €35million in a transfer that raised more than a few eyebrows in the Spanish capital.
The 26-year-old's loyalties were previously with Atletico, where he won LaLiga, the Copa del Rey, the Europa League and the UEFA Super Cup during a three-year spell on loan from Chelsea, which finished before Saul established himself in the first team.
Ahead of Courtois' first El Derbi appearance in Los Blanco's colours on Saturday, Saul admitted to feeling a degree of shock about the Belgium international's transfer.
"I was surprised to see him in white, yes. I didn't expect it," he told El Larguero on Cadena SER.
"We're going to believe he wants to be with his family and Atletico fans should understand that.
"I know he has a lot of affection for Atletico."
Saul went on to sing the praises of Courtois' successor Jan Oblak, who he claimed should have been in the running for a place in the FIFPro World 11 or the Best FIFA Goalkeeper this year.
Antoine Griezmann was also overlooked for the Best FIFA Men's Player, but the 23-year-old star believes the World Cup winner is getting closer to the levels of Lionel Messi and Cristiano Ronaldo.
"They're two wonderful players and sometimes we depend on them too much," Saul said of Atletico's top performers.
"Griezmann has been working for many years, he's getting better and he's improving.
"Comparing him with Messi and Cristiano is a lot, but Griezmann is strong. He should be a serious candidate for the Ballon d'Or.
"I am surprised that Griezmann did not get a FIFA award and even more so that Oblak is not in.
"Right now, Oblak is at a different level."