Grayson was given his marching orders just minutes after the Black Cats' 3-3 home draw with basement side Bolton Wanderers, a result that extended their Championship record this season to just one win in 15 matches.
The 47-year-old took over at the Stadium of Light in June in the wake of the club's relegation from the Premier League and a subsequent managerial search that had seen many candidates turn down the role due to the lack of transfer funds available.
"I'm gutted for Simon," Monk told reporters after his side's own 3-1 win at Hull City. "Simon's a great manager, and a really good guy as well.
"Especially at this level, I don't really understand the decision. Everyone knew what he was going to be walking into.
"It was always going to be extremely difficult, and it was always going to be a transition season for Sunderland.
"There was no better man to take that job. Does football surprise you? Not really. But in terms of what's happened, it's a bit mind-boggling for me.
"Simon was the perfect candidate and I feel for him. It's not a nice thing, and it's undeserved if we're all honest about it."
Sunderland, who sit 22nd in the table, travel to Monk's side in their next game this weekend.