The Club captain says the manager's departure - along with assistant Frank Lampard - was a "bolt out of the blue" and he explains: "There were no rumblings about this happening, no indication that this was going to happen and I am very shocked.
"I have not spoken to Harry, maybe it is not the time to phone up just now, but I will let the dust settle and I might speak to him in a day or two.
"I'm sure Harry is disappointed and saddened because he is West Ham through and through; he had played for the Club and supported it aswell and I'm sure he would say himself it was a big honour for him to manage the Club.
"But Harry has said himself that he finds it hard to switch off from his home life and that he does take it back with him.
"He has even apologised to his wife about it, and has been very down in the dumps lately.
"But that shows he cares about it and I know how disappointed he has been.
"I'm sure Harry's thoughts were for the Club first and foremost.
"The boys have not played as a team recently and we have underachieved this season but unfortunately it is the manager who carries the can - and that is Harry."
Steve has seen many a manager come and go while at Manchester City and thinks West Ham's policy of steady progression is the right one, saying: "We have had continuity of late and we have made progress but obviously there has been a bit of a blip.
"But you can't please all of the fans all of the time, and I must say that they have been quite supportive - and were certainly happy when we got the result that kept the Club safe.
Steve, currently recouperating from a knee injury, hopes that the Club can move onwards and upwards and says: "I am pretty much in the dark about what happens next and the onus is on the Board to vet the right manager who they feel can take the club forward.
"At the end of the day it is the Board's choice, they run the club and they have got to look at who they think is most suited.
"Things change very quickly in football, it has an unpredictable nature, and we will see what ideas the new person has.
"He will obviously take a look at the playing staff, and the slate will be wiped clean - it will be a case of trying to impress the new manager."
Steve feels that the day's events mirror the changing nature of football and says: "Five or so years ago it wouldn't be too much of a problem for West Ham to be safe with a game to go.
"But after three seasons in the top ten, they obviously believe that the club should be up there with the players we have - and rightly so.
"I feel with the league as it is, West Ham should be a top ten team; we have not done as well as we expected or wanted to do.
"And there is also the new stand which needs to be filled."
Steve was nearly sold by Harry Redknapp earlier in the season after he accepted bids from Everton and Manchester City, but he insists: "I certainly don't hold any animosity against him for that - if that was the case I would have held animosity towards the Club, which I don't."