Ferguson will leave Old Trafford at the end of the season after announcing his retirement, and Scudamore believes that the 71-year-old has left an "unbelievable footprint" on the Premier League.
Scudamore told Sky Sports News: "I am very shocked and very surprised. It is one of those things that you know is going to happen someday, but you don't really expect it to happen.
"Nobody has been a bigger star on the Premier League stage than Sir Alex Ferguson. He has won 13 Premier League titles in 21 years.
"He is never stronger than when he has just lost one, and it is just an unbelievable footprint that he has left on those 21 years."
The Scot has been in charge of United since 1986.