Valverde recorded 35 saves last season for the American League champion Tigers but struggled to a 3.78 ERA.
Detroit decided not to bring back Valverde this offseason after his three-year contract expired, and the free agent right-hander remains unsigned this week even as teams begin spring training, a fact that surprises Leyland.
"I'm shocked, totally shocked," Leyland said Thursday. "Broken-hearted. Can't believe it. This guy was absolutely fantastic, absolutely fantastic for us. One of the best teammates I've ever managed. He did as good a job ... for three years in a row, he had the most saves and the best percentage. I can't believe it."
Valverde converted 110-of-118 save opportunities in his three seasons with Detroit, including all 49 save chances in 2011.
But the two-time All-Star blew five saves last season and unraveled in the postseason before being replaced by Phil Coke, who recorded two saves in the ALCS and helped the Tigers reach the World Series.
"Granted, [Valverde] wasn't as good maybe last year," Leyland said. "But in a two-week period [last October], it seems like everything that this guy did got forgotten about. I just can't even imagine that."
"I've talked to a couple of people and recommended him very highly," Leyland said. "I won't say who they were, but I've recommended him very highly. I don't know the ins and outs. It's none of my business. I don't know what the agent's talking about, so I don't want to stick my nose into anything, because I don't have any idea. But it just breaks my heart, and I'm totally shocked."
A 10-year veteran, Valverde has 277 career saves with the Tigers, Houston Astros and Arizona Diamondbacks. Leyland indicated, however, that Valverde's postseason collapse contributed to Detroit's decision this offseason.
"I think the Tigers just felt that it was time," Leyland said. "It was pretty rough on him that last period here in Detroit. It got a little rough on the kid. I understood the magnitude of what was going on and everything. But if you noticed, I was one who supported him through thick and thin, through all of that."
ESPN.com's Jayson Stark contributed to this report.