The presenter apparently thought that Donnelly was 'the one' and was surprised when he dumped her last week.
One friend said that Thompson described the split as "like a bolt out of the blue" because she was planning to take their relationship to the next level.
A friend told the Sunday Mirror: "Georgie really didn't see this coming and thought things were going well with Dec. She is really hurting because she thought he was 'the one' and didn't want to break up."
Yesterday she wrote on Twitter: "Breaking silence momentarily simply to say thank you for all your kind messages this morning. It means a great deal at a difficult time."
She has turned down an offer from Sky bosses to take time off from work, saying that she wants to be around her colleagues - including co-hosts Millie Clode and Jamie Redknapp.
A source said: "Jamie and Georgie are workmates and he will be a big support for her in the months ahead."
Donnelly has said that he is "disappointed" over the split".