Di Matteo was axed on Wednesday morning following the Blues' damaging 3-0 Champions League defeat against Juventus in Turin on Tuesday night.
The loss has left Chelsea on the verge of elimination from a competition Di Matteo memorably won in May to persuade owner Roman Abramovich to appoint him full-time in the summer.
Abramovich is now, however, looking for a ninth manager since he took over the club.
Ferdinand, who has only worked under Sir Alex Ferguson during his decade at Old Trafford, wrote on his Twitter page: "Wow, Chelsea have sacked their manager!!
"I'm a bit late I know but its a madness.
"The stability at our club is something our manager rarely gets praise for...don't under estimate that. #LambChopped."
Wednesday morning's statement from Chelsea revealed they expected to name a replacement for Di Matteo "shortly", with some reports suggesting the new appointment could come in the next 24 hours.
Former Chelsea boss Ruud Gullit believes the haste of Di Matteo's departure ensured that the board had already identified the new man and believes it could be Jose Mourinho.
"I can't believe that Chelsea just sacked him without knowing who is going to be the next one," Gullit told Sky Sports News.
"I will be curious to see what they do in the next couple of days. I can't believe they have just sacked him out of the blue and then they'll be thinking about who is going to be the next one. I don't think so.
"I think they have already in mind who is going to be the next one. It could of course be Mourinho, if it happens, I don't know because it is in the middle of the season."
Gullit believes Mourinho had already been on the club's radar at the end of last season, before Di Matteo's Champions League success prompted them to appoint the Italian full-time.
"I already had a very good feeling that when Robbie won the Champions League that maybe they (the Chelsea board) already had somebody else in the frame to take over," he said.
"I don't think they took any notice of the fact that Robbie could win it.
"That was the reason I believe that they took so long to sign Robbie because they were looking for other people. In the end they gave it to Robbie.
"I always had the feeling that Mourinho was in the frame all the time - for the simple reason that he signed just after Chelsea won the Champions League.
"He signed his contract with Real Madrid and for me that is no coincidence."
Players' chief Gordon Taylor claims Chelsea have set an unwelcome record by sacking Di Matteo just six months after winning the Champions League.
Di Matteo's contract was terminated this morning following the 3-0 defeat at Juventus.
Taylor told the Press Association: "I know Roberto well and he is a good man so this is sad news.
"It's also quite incredible that he can be sacked so soon after winning the Champions League - and the FA Cup for good measure.
"It must be a record, and not a good one.
"It just shows that patience now seems a rare commodity at some clubs and that is a shame because the record of other successful clubs shows that stability can breed success.
"I am sure that it will not be long before another club recognises Roberto's qualities, and that he will soon be back in football."