Despite the off-field problems and the inability to make new signings in the transfer market, Cotterill used the loan market effectively and helped Forest steer clear of relegation in an impressive end to the season.
Forest's statement said the decision was taken after "long deliberations" and thanked Cotterill for guiding them through "an extremely difficult and traumatic period and for retaining the side's Championship status last season".
Former Tottenham manager Harry Redknapp, Peterborough United boss Darren Ferguson and ex-Wolves manager Mick McCarthy are among the bookmakers' favourites to replace Cotterill.
"I am not interested," he said. "But it's an amazing club with great tradition. I'm sorry to see Stevie Cotterill lose his job."
McGovern told BBC Sport: "Nothing in football should surprise us… I think he's a little unlucky.
"Steve Cotterill did a reasonably good job coming in while there was a transfer embargo going on and eventually did do what he was asked to and keep the club in the Championship.
"New owners have taken over and they obviously have their own man in mind. As quickly as the decision has come regarding Cotterill they must also have had discussions with someone to take over, he's just very unlucky.
"Most of the top managers that are out of work - Harry Redknapp and Mick McCarthy - have been put in the frame.
"It will be a plum job as it is when a club is taken over if the new owners are going to put in some money because that makes the job a little easier."
Forest's new owners announced on Tuesday that they will hold a new conference at the City Ground on Saturday.
Keith Mather, chairman of the Nottingham Forest Supporters' Club, told BBC Sport: "It was a struggle at many times last season, and the guys who have come in with a massive investment want to see something come of that investment. It's one of those cases of a new brush sweeps clean."
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