Caicedo pleaded with Brighton for a transfer after the English south-coast club reportedly rejected a £60million bid from Premier League leaders Arsenal.
In a post on Instagram this week, the Ecuador international said he was grateful to Brighton and club owner Tony Bloom for giving him the chance to play in the Premier League but did not want to miss out on a "magnificent opportunity".
"Caicedo is a very, very good guy," De Zerbi told reporters after Brighton knocked out FA Cup holders Liverpool on Sunday with a 2-1 win at home.
"I can understand him, when you are 21 and you receive the request of a big, big team that are playing in European competition.
"I would like him to finish the season with us but we are ready to go forward without him."
British media reported that Brighton, who sold Belgium winger Leandro Trossard (28) to Arsenal earlier this month, were not interested in selling Caicedo as well after he impressed in central midfield this season.
"I was surprised but I can understand where the mistake started. Moises is a good guy," De Zerbi of Caicedo, who has reportedly been given time off by Brighton until Tuesday's transfer deadline day.
Brighton are sixth in the league standings halfway through the season and are in a strong position to qualify for European football for the first time in the club's history.
