Reports earlier today had suggested that the 52-year-old had been sacked, although there has been no official confirmation from the club.
However, speaking to Sky Sports News, McCormack revealed that McDermott has left Elland Road.
"The club have decided to sack him, unfortunately. He called me up earlier and told me he was gone. It's hard times at the club. I'm absolutely gutted because I had a really close relationship with the manager," he said.
Regarding his own future, McCormack has conceded that he may be open to a move away from the club, despite having claimed a couple of hours ago that he would be staying.
"I'm very happy and content at the club, but I think a big part of that was Brian McDermott. At the moment it is still very raw and I'm gutted. There are three hours left [of the transfer window] and I can't see anything happening. Whether that changes, we will see. I'm lost for words, I can't believe what's happened [to McDermott]," he added.
Cardiff City are said to be keen to sign the Scottish striker.