Last month, Hesmondhalgh announced her intention to bow out from the role of Hayley Cropper after 15 years with the ITV soap. She will depart at the end of the year.
Neilson, who plays Hayley's long-time partner Roy, revealed his thoughts on the news during a live Daybreak interview this morning (February 13).
He explained: "I was shocked and devastated. I mean, she's great, she's my right hand. She told me a couple of months before it became public and I thought she'd change her mind, and I hoped she'd change her mind.
"I adjusted to it, but when it became official, it's a bit like a death in the family. I'm really sad. I'll miss her obviously, and this place will miss her.
"But she'll do well, she wants to fly the nest and do stuff, and who knows - in this show she could come back as Hayley's long-lost sister!"
Meanwhile, Roy's current storyline sees him full of worry for his mother Sylvia Goodwin (Stephanie Cole), who returned to Weatherfield with a gambling addiction earlier this month.
Upcoming episodes see Sylvia beg Roy for help in recouping some of her recent losses, suggesting that he could use his mathematical brain to devise a formula to beat the casino at its own game.
Neilson explained: "She gets him to try and dig her out of the hole she's dug for herself. She's a law unto herself, she's got a very secret life and she picked things up in America that I wouldn't like to go into!
"I don't think we've got to the bottom of it yet, and this week Roy is quite shocked by her behaviour. Roy is anti-gambling - he had all of the fruit machines taken out of the café when he first got it. He's a strange man."
Coronation Street continues tonight (February 13) at 7.30pm on ITV.
Digital Spy Soap Scoop video - watch Amie Parker-Williams reveal the biggest storylines coming up in EastEnders, Coronation Street, Emmerdale and Hollyoaks next week: