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Former Tottenham and Ajax midfielder Eriksen won over Conte to become a regular starter in the second half of the season.
He previously admitted to not understanding Conte's tactical ways, but the Dane became increasingly influential during the Scudetto-winning campaign.
Inter's success meant it was jarring to many that Conte should leave by mutual consent last week following post-season talks with club leaders. Eriksen, currently preparing for Euro 2020 with Denmark, admitted he was among those staggered by the news.
"It was a huge surprise. It is very special when you have just won a championship with the team and the squad. I read about it like everyone else did. And all of a sudden he was gone," Eriksen said.
"I had not seen it coming at all. We knew they were going to have this conversation, but they did too after last season. It came as a real football shock, because one did not have the feeling that he wanted to leave now."
Eriksen, 29, was a popular figure at Tottenham before opting to join Inter in January 2020, with his contract in London close to its end.
He may still have Premier League admirers, and Eriksen wants to know who will replace Conte before he reaches any decision on whether Inter remains the right place for him.
Former Lazio boss Simone Inzaghi appears the front-runner for the post.
"We do not have a coach right now, so what is going to happen, I do not know either," Eriksen said.
"I have no idea if it's good or bad for me. I have not really thought about it. I really just thought that the European Championships should start now. And that's what it's about now.
"Then I have to see if we have got a coach before the European Championships are over. And then you can take it from there. Right now it's about Denmark, and then Inter will be put aside."
In a mostly deep-lying role, Eriksen was not as influential to Inter in an attacking sense as he was during his Spurs career.
During his final full Premier League season at Tottenham, the 2018-2019 campaign, Eriksen averaged 0.26 goals per 90 minutes, 0.39 assists and 2.37 chances created.
He managed three goals for Inter in their title-winning effort, at 0.19 per 90 minutes, but did not make a single league assist and created an average of 1.94 chances.
Eriksen said he had Conte to thank for becoming a league champion in Italy, as Inter ended a nine-year run of Serie A triumphs by Juventus.
"We had a professional relationship," he said, looking back at his time with Conte. "I had a good relationship with him. Of course, we probably had some different ideas about how football should be played and delivered.
"But personally there was nothing to put a finger on. It was about winning and that was what we did."