Mattingly said Kyle Barraclough will now serve as closer.
While Wednesday's blown save was Ziegler's first of the season, the loss dropped the right-hander to 0-5 with a 7.83 ERA.
"I don't know exactly what it is," Ziegler said after Wednesday's game, according to the Herald. "It's pretty empty. It's a lot of self-examination, questioning, what in the world is going on? It's frustrating to just be in this spot again."
Mattingly said Ziegler, 38, took the news of losing his closer's role in stride.
"Zig understands the situation," Mattingly told reporters. "He's professional. He understands. I just told him we were going to try to make a change and do things a little differently."
The right-handed Barraclough, 28, is 0-2 with one save and two blown saves to go with a 1.48 ERA in 25 appearances.