Capello stepped down as Three Lions manager with immediate effect on Wednesday, after disagreeing with the Football Association over the decision to strip Chelsea defender John Terry of the England captaincy.
"Shocked about news on Fabio Capello ... gutted to be honest, gave me my 1st cap and believed in me! Thank you Mr Capello! #GreatManager," Wilshere posted on Twitter.
"People have there [sic] own judgement on Capello but for a young player who was given the chance to play for my country at such a young age...
"He has shown great belief and trust in me so I can only thank him....massive influence on my career so far! Sad to see him go!
"The question everyone is asking, fans and players, where do we go from here? Euro's is just around the corner and we have no manager?!?"
Like Wilshere, Tottenham defender Kyle Walker took to Twitter to express his disappointment.
He posted: "Gutted to see Fabio Capello go he put a lot of trust in me and gave me my first cap just want to say a big thanks really.."
Rio Ferdinand, who had been captain before Terry was reinstated, asked: "So Capello resigns....what now...."
QPR midfielder Joey Barton was typically forthright in his assessment of developments, which followed John Terry being stripped of the captaincy.
"Well, well, well, this debacle claims yet another victim. Where does this stop. £madness," he tweeted. "No captain and no manager. 4 months from a major championship. What's going on......."