Newly-appointed caretaker boss Glenn Roeder has effectively ruled himself out of the running for the job permanently as Hammers boss and does not expect to be in charge for more than a fortnight.
Explaining his decision to accept the temporary role, he says: Paul (Aldridge) asked me if I would take the team to Middlesbrough with Roger, and somebody has got to do it.
"I suppose, as I have had managerial experience before, I will be able to cope with it for the one game.
"But as for taking the job beyond that, it is not something I have even given any thought to; in the premiership now, managers need to have such high profiles and long CVs.
"I'm only concerned now about preparing the team for the Middlesbrough game and it is just as important to come back from there with a win."
Glenn says that he is just as sad about the departure of Harry's number two Frank Lampard, adding: "A lot of people were upset today, because he was such a good man to work for, as was Frank.
"It is a sad day for the club, who have lost two people that have given so much to West Ham.
"It has not really hit home yet; I don't think anyone expected what has happened today to have happened.
"We are all in a bit of a daze at the moment."
Former defender Rio Ferdinand was equally surprised by the news and said: "I hope Harry is not leaving football for good.
"I owe him a lot as he and the staff at West Ham gave me a lot of encouragement.
"Harry believes in a good youth policy and I hope the younger players won't want to leave as a result of this."
*Meanwhile, Charlton manager Alan Curbishley - favourite to replace Harry in the manager's seat at Upton Park - has spoken for the first time about the speculation linking him with the club, saying: "I am flattered to be associated with the vacancy at West Ham United. It is where I started my career and I have always had an affection for the club. There is still much to be achieved at Charlton and I want to be involved in the ongoing development of the club."