The Jambos were relegated to the Championship thanks to St Mirren's 3-2 win over Motherwell on Saturday, but Locke is adamant that the club will bounce back.
"We're disappointed but with the backing we've got we're confident of coming back up," BBC Sport quotes him as saying.
"All the players have improved over the course of the season. Thanks to the fans from myself and the coaching staff, the backing we've had has been remarkable."
Hearts, who were docked 15 points at the start of the season after entering administration, were relegated despite defeating Partick Thistle 4-2 today.
They face the prospect of challenging Rangers for the Championship title next season, with the Glasgow club having won promotion from the third tier of Scottish football this term.