Hayen was sacked after the club lost to St Truiden at the weekend and slipped into third place in the Belgian league. He was immediately replaced by Croatian Ivan Leko, whose club, KAA Gent, were unaware of his decision to leave until they read about it in the media.
Vanaken said Club Brugge players had learnt after Monday's training of the coach’s dismissal. "A surprise for the squad," he told a press conference on Tuesday.
"Nobody expected that. There wasn't really a reason or anything we thought was a reason. Look, the board has made a decision and it's up to the players to accept that. We know that in football, tough decisions are made sometimes.
"Firing a coach is always unpleasant. Secretly, we're all convinced that things could have got better in the coming months."
Vanaken was then asked if the players and the board were on the same page, but hesitated before answering: “That's difficult to say. As a group of players, we were surprised. The board may have viewed it differently or had other conversations behind closed doors that we don't know about."
Leko returns for a second spell as coach and debuts against Arsenal, who will be looking to make it six wins from six group games in their Champions League campaign.
Belgium international Vanaken played with Leko when he first started out and also worked under him in Leko’s previous spell at Brugge from 2017-19.
"Ivan is a completely different personality than Nicky, he has a bit more fire in him. That's not to say one is better than the other, but in the past, we clicked."
Leko had a release clause in his Gent contract, allowing him to leave, but he did not tell anyone until Club Brugge named him as their new coach at the same time as they fired Hayen. The fee was reportedly around one million euros, Belgian media said.
Brugge have four points from five Champions League games and sit outside the qualifying places.