By Marcus Chhan
The announcement on Dalglish's future came just 24 hours after the Scot returned from a meeting with principal owner John Henry and chairman Tom Werner in the United States.
Under Dalglish, Liverpool had endured a mixed bag of results this season with the Reds winning the League Cup as well as reaching the FA Cup final but they also finished a disappointing eighth in the Premier League despite significant investment in players.
"Surprised not shocked," McMahon told ESPNSTAR.com with regards to Dalglish's exit from the club.
"You would've thought they [the owners] would have given him at least until the start of the new season and then see how results go [after that]."
Dalglish is a legendary figure at Anfield, having enjoyed a highly successful time with the club as a player and then as a manager up until his decision to stand down from the coaching role in February 1991 for health reasons.
The Scot returned to the club in July 2009 when he was appointed to a senior role at the Liverpool academy - and 15 months ago he stepped in to assist the Merseysiders as a caretaker manager following a dismal run of results which saw Roy Hodgson sacked as coach.
After stabilising the club he was offered a three-year contract in May 2011 which he signed to become permanent manager for a second time at Anfield.
In the immediate aftermath of Dalglish's departure from Liverpool on Wednesday, there were calls in England for the owners to install the Reds icon in another role at the club but McMahon isn't convinced this will happen.
"I think they [the owners] wanted him to take a step back and I don't think he was happy with that so I don't think this will happen," McMahon said.
"I am sure that's the case."
Wigan manager Roberto Martinez and former Liverpool manager Rafael Benitez have been well backed by the bookies to succeed Dalglish.
"I would rather Martinez than Benitez," McMahon said.
"Why would Liverpool want to go back? Benitez is a closed chapter in Liverpool's history.
"We need a young manager, you've got to look at the future and the young managers have done well this season."
Wigan chairman Dave Whelan confirmed on Wednesday that the Reds have not made an approach for Martinez so far.