American Pegula exited the Australian Open in the second round after losing to Frenchwoman Clara Burel and withdrew from the doubles event in which she was partnered up with Coco Gauff.
"It was a total surprise to me. Never saw it coming. We've had a great friendship for five years, so it's very tough," Witt told tennis.com.
"She's obviously knocking on the door of winning a major. Our goals were to win a Grand Slam. Obviously, that was cut short, didn't get to accomplish that, but I think everything else has been awesome."
Pegula was ranked 76th when she began working with Witt and he helped her win her first WTA title in 2019 in Washington.
The American reached the last eight in three of the four majors in 2022 and broke into top 10 after reaching the quarter-finals in that year's French Open.
Pegula reached her third Australian Open quarter-final in a row in 2023. She has won four singles and seven doubles titles on the WTA Tour, including two WTA 1000 titles.
"The hard work she put in and we put in, that was something to remember," Witt said on Pegula's career.
"I've been pretty lucky that I've only been with two players the last 15 years," added Witt added who also coached Venus Williams.
