Parramatta bosses will continue their search for a new coach this week, with no clear frontrunner emerging in the days after Arthur's axing last Monday.
The longest-serving coach in Eels history, Arthur had been under pressure to hold onto his job before the season started after missing last year's finals.
Brad Arthur had been under pressure after the Eels missed the 2023 finals. (Mark Evans/AAP PHOTOS)
But Brown said Eels players did not expect the decision to come so soon.
"It was unexpected what happened ... and it's disappointing to see him go because a lot of us are really close with Brad," Brown said.
"For him to be gone just like that, especially at this time of the season, is disappointing.
"The decision has come from above and we don't know the exact reasons as to why it was this timing.
"I felt like it was unfair, but there are reasons behind it that they've decided. We need to perform."
Brown's tight bond with Arthur is well known, with the former coach at one stage this year saying the five-eighth is like a son to him.
The Eels (3-8) do expect to finally get Mitch Moses back on Thursday night against Cronulla, having lost seven of eight matches without him as he battled a foot injury.
Captain Clint Gutherson is also due back from a knee injury, with interim coach Trent Barrett insistent Parramatta can still turn their season around.
But regardless, Brown said players had to accept knew their performances were responsible for Arthur being shown the door.
"It's disappointing that results were the reason that he did get sacked, and that's up to us," Brown said.
"A lot of us dwelled on that and we think it was our fault, but the only thing that's going to get us out of this is each other.
"There's nothing we can do about it except to perform, and we're not doing that at the moment.
"We're the ones that go out there every week. It's not just the leadership group but players from one to 30, it's our responsibility. It's embarrassing."
Interim coach Barrett, NSW mentor Michael Maguire, Melbourne assistant Jason Ryles, former Cronulla caretaker Josh Hannay and Michael Ennis are all potential options for the Eels.
Michael Cheika could also be a left-field option given his ties to Moses as Lebanon coach, while other potential candidates loom in the English Super League.
Eels captain Junior Paulo said he too had been surprised by Arthur's axing.
"It was a bit of a shock," Paulo said.
"The reality is you can't do anything about the decision that was made. We just had to get on with our job.
"It was always going to be hard moving on from it. Everyone got around Brad. He was in good spirits after what had happened."
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