Dickov called time on his two-and-a-half-year stay at Boundary Park on Sunday after the previous day's 3-1 defeat to Walsall left them teetering above the League One relegation zone.
It happened just a week after the Latics famously toppled Liverpool in the FA Cup and Corney, who admits Dickov could have left before that game, does not take pleasure from his manager's exit.
"It was close because even a week ago before the Liverpool game because we had lost seven games out of eight," Corney told BBC Radio Manchester.
"With all the managers I've had and all the departures I've had to endure this has definitely been the hardest.
"We had the game against Liverpool and arguably my best day being involved with the Latics last week and a week later we're parting company with the guy who gave me that day. It's so, so difficult.
"Paul phoned me up and he's gutted for the team. He said, 'It's just not fair and I don't want to take the club further down, clearly things aren't working and you've got to make a change, Simon'.
"How classy is that, to do that? I've had the problem of getting rid of five or six managers but I've never had one that's acted with the dignity that Paul's acted with."