The Republic of Ireland Under-21 international said he had "fallen out of love with the game" and wanted to pursue a career elsewhere.
Keane, who is trying to sign a new goalkeeper, told the East Anglian Daily Times: "I was surprised. Shane is an excellent lad and has trained very well and is a good pro.
"It was very brave of him. Many people go through life doing stuff they don't want to do and he has been brave enough to say football is not for him. He will do well in whatever he plans to do as he is an intelligent lad.
"I gave him the option of taking a couple of weeks off but he said he had been thinking about it for quite a while and the way he came across made me think he was not for tuning."