The Chelsea captain, who is currently playing with England in the World Cup, would liked to have seen Cole receive a new contract at Stamford Bridge.
“It still amazes me how the club have come to the conclusion of letting Joe go,” he said. “We are disappointed with him going.
“He was a great boost for us, coming back from his injury, and it was the right time for Chelsea for him to come back into the side.
“He got a great goal away from home at Manchester United, which proved to be vital (in winning the title).
“Joe is one of the best players in our country. He has come back from an injury and showed great form for Chelsea.”