Roy Keane left the Wearside club last week.
Yorke said in the Daily Mirror: “I was shocked, surprised and saddened.
“He was the man responsible for me coming here in the first place. If it wasn’t for Roy, I would not be here.
“So I’m very grateful for that, and sad to see him go. I genuinely believe he could have turned things around but for whatever reason he has decided not to.
“Roy is his own man and it was his own decision. It was sad to see him go, for everybody at the club. But we’ve seen it happen in football so many times.”