The 32-year-old defender, who played under O'Neill during a seven-year spell at Villa, was speaking before Sweden's friendly against Scotland in Stockholm on Wednesday.
"I think it came as a shock to most people," Mellberg said. "I haven't spoken to the people over there in a while, so I don't know what happened there really."
O'Neill quit Villa days before the start of the new season, amid speculation that the club's owners were not allowing proceeds from player transfers to be reinvested in the squad.
Villa had three sixth-place finishes in the Premier League under O'Neill and lost the League Cup final to Manchester United last season.
"It's tough," Mellberg added. "They are one of the teams that has spent the most money over the last few years since he came in. Compared to Manchester City they haven't spent a lot of money, but compared to most other Premiership teams they have.
"I think everyone can look at the figures and the money spent, what they have bought and sold and make up their own minds if they think that is good enough for a club of Villa's size or not," Mellberg said.
"It's a great job, great fans, great history, great club. For any manager, to manage Villa is a privilege."
