Sturrock saw his three-year tenure at Roots Hall come to an end at the weekend with the Shrimpers six points off the play-off places.
The League Two side have picked up just one win from their last six games and Sturrock claimed he was starting to tell that his time with the club was coming to an end.
He told talkSPORT: "My contract was up at the end of the season and I had thoughts of moving on anyway. I wasn't surprised.
"I've been at for Southend three years and enjoyed every minute of it but sometimes you get a bit stale and have to move on. I'm hoping for a new challenge."
He added: "It's been great. We have been a bit unlucky in the last few seasons. I'm very hopeful they will win a couple of games and get in the play-offs."
Sturrock also confirmed that he will return to the club to prepare the side for the Johnstone's Paint Trophy final against Crewe at Wembley on April 7.
He said: "I'm not only leading the team out at Wembley, I'll be taking training all week and picking the team.
"The chairman was very fair, he felt I'd got them to the final and should take the game."