Komphela resigned from Chiefs after the club lost 2-0 to Free State Stars in a fan-violence marred Nedbank Cup semi-final in Durban on Saturday.
Chiefs football manager Bobby Motaung said Komphela stepped aside due to safety concerns, as Amakhosi supporters went on the rampage at Moses Mabhida Stadium.
The defeat to Stars ensured the Glamour Boys will go a third straight season without silverware for the first time in their history.
Mosimane is friends with Komphela, who briefly assisted him during his time in charge of Bafana Bafana.
“I’m sad, very sad. He’s a big guy, he’s a good man and I’m sad to lose one of our own... it’s not nice,” Mosimane said of Komphela, whose three-year contract at Naturena was due to expire in June.
“I understand how they reacted and probably it would have been worse, but it’s okay... it’s part of the game. And somewhere, somehow the ethics are not there.
“I understand his emotions and Steve is a big guy. He knows if he didn’t win the Nedbank Cup, even if he probably won it, maybe he could’ve gone.
“But all these coaching ethics and all that and we can name ‘this team wants me, this team wants me’.
“I mean there’s only two teams in the world that I can name: it is Real Madrid and Barcelona who wants to win all the time, so it’s okay.”
Asked if Komphela - whose input in signing players at Chiefs may have been limited - was let down by his players, Mosimane said: “I don’t know, but he’s a good brother and he’ll forever come back.”
Sundowns also lost in the Nedbank Cup last-four on the weekend to Maritzburg United, with Mosimane bemoaning their missed chances in front of goal and an injury to defender Anele Ngcongca.