Pulis left the club by mutual consent on Thursday, just two days before the Eagles were due to face Arsenal in their Premier League curtain raiser.
The 56-year-old is believed to have fallen out with co-chairman Steve Parish after missing out on signing Gylfi Sigurdsson and Steven Caulker this summer.
He told reporters: "Myself and the staff are shocked. We knew the frustrations of the club, that we hadn't brought in the players that we wanted at the moment.
"But when you look at Hangeland, Campbell and Kelly – they are three great signings. All I can say is from a football point of view [Pulis] was more than happy.
"He's got a good group of players that he got the best out of last year. We've added to the squad, that's made our strongest XI better."
Former Cardiff City coach Malky Mackay has been linked with the Palace job on a long-term basis.
Millen will take charge of the club's trip to the Emirates Stadium this evening.