The King of Clay, who is a Los Blancos fan, described the French coach's shock departure as an "unpleasant day" for the club.
"I felt a bit surprised because it was not something that had been discussed lately, as he had said he would like to continue with the team," Marca quotes Nadal as saying.
"I hope it's a case of 'see you later'. It's an unpleasant day for Real Madrid. He is a legend at our club by being a successful player, coach and also a person with exceptional behaviour.
"He is a normal person, who faced difficult moments with a smile, without complaining about referees or players or the club, nobody."
Zidane's departure came just five days after he guided Real to a 3-1 win over Liverpool in the Champions League final.