But he does admit the departure of H will take a little while to sink in.
"I was quite shocked, and I didn't expect it to happen; Harry has been a great servant to the club over the years, and has done his job, but the club felt it was time to move him on and you have to accept that," he says.
"It's a similar feeling to when someone dies and you're expecting them to just walk through the door; it hasn't really sunk in that the gaffer has gone yet.
"It will sink in over the next few days, and especially so when the next manager comes in with new values and ideas.
"Personally I was very sad; he gave me my chance and he has done well by me.
"But whoever comes in now has got a difficult job to do though I'm sure they will relish it, as we've got a lot of talent here."
Revealing how he heard the news, he says: "One of my friends rung me to tell me but I thought he was having a wind up and then it went all mad.
"I just wish him the best in whatever he does now and I will certainly shake his hand; he's always going to be West Ham whatever he does.
"You won't find another Harry Redknapp in football because of his great sense of humour.
"It's always difficult to have a relationship with your manager whatever work you are in but whenever I spoke to him he was always decent to me and made me laugh.
"I'm just a bit wary of what I say now at such a sensitive time because anything you say gets taken out of context, and that is why I haven't spoken to the press as yet."
Joe is reticent about saying who he thinks should be Harry's successor, explaining: "Obviously I have my own thoughts but they have got to be kept private because I don't want to be saying 'I want to see him' and then someone else comes in.
"Whoever they pick will know that I'm going to be giving 100% whenever I play for West Ham and I'll be looking forward to working with anyone.
"I'm not leaving, and it hasn't changed anything for me; I still want to stay at West Ham for as long as they want me.
"I can't speak for anyone else but I don't think it's going to change too much with the other players either.
"I'm happy here and everyone knows my ambition is to make West Ham a great side again and I won't be leaving until that happens."
Joe hopes that Frank Lampard junior feels the same way, and he adds: "Frank is a great player, and I wouldn't want to see him go, but I haven't spoken to Frank and whatever he does is down to him - I can only speak for me and I'm definitely staying.
"In fact I'm excited now; I love playing football and whenever I go out on the pitch it doesn't matter who your manager is.
"Another manager might ask me to do something different and I will try and learn from anybody - I always take advice."
Joe feels the next few weeks will dictate the direction of the club for years to come, and adds:
"The club can go either of both ways now: we've got to put in a good season and hopefully win a trophy.
"We say this every year, but it's got to happen soon because we have to get the right manager and the right players in, push on next year, and try and build a great club.
"But it's all about winning first and entertaining second; I really want to win things with the club and be successful, because there is no better feeling than leaving Upton Park when we've won 3-0, and I want that every week."
More immediately, Joe has to focus on Saturday's game with Middlesbrough, after an injury scare following a collision with Steve Bywater in training.
"I was just going through and Bywater cleared me up; he was like a train coming out of his goal.
"But I should be all right for Middlesbrough, where it is pride at stake, mostly. If we win and finish 14th that's only four points off your eighth, ninth and 10th places.
"That's a lot better than 17th, but admittedly it's not a good season either way."
After that, it's England action in June, and Joe says: "Whatever squad I'm in, the full or the under-21s, I will look forward to it; I enjoy going out with England."