Fonseca was sacked and replaced by Sergio Conceicao as Milan coach after a difficult six months in the job.
Shevchenko told La Stampa: "I know a few things. As a Milan fan, I feel sorry for Paulo Fonseca, a man I know and who has always shown great correctness and values, as has been clearly seen.
"Here, in Ukraine, he did well and I believe that he also left an idea of his work at Milan. It seems to me that he tried to give his best to solve problems that he did not create, but that are still there.
"Something didn't work and now the page has been turned. Let's look forward. I hope this change will be useful. Conceição, in the Super Cup, gave an injection of energy by leveraging his determination, but Milan, as we saw in the league with Juve and then in the Champions League, lacks consistency.
"Fonseca also won at Real Madrid, but without managing to establish a consistent level."