Radio Aire's Rich Williams and Naomi Kent broke the news to Murs whilst he was visiting 96.3 Radio Aire in Leeds.
On being told of Cocozza's departure, Murs said: "Shut up. Wow. Is that serious? Frankie's been kicked off The X Factor?
"Well, let's see if I've got my phone. This is interesting. This is exclusive, right here. Wow. Wow. Wow. Wow. I'm just getting texts now, this is amazing.
"Wow. Everyone's been saying, 'Hi all, just to let you know everyone that Frankie's left The X Factor'. Oh my God. Why has he left?"
Murs immediately contacted his Xtra Factor co-host Caroline Flack, saying: "Caroline, Caroline, where are you? Oh my God. I'm going to ping her right now. Frankie has left the building. Oh my God, that is incredible."
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He added: "I'm shocked. He's broken a golden rule. Now, I don't know what the golden rule is. The rules are - there's lots of rules on the show.
"Obviously, you can't speak to the press directly without going through people. You can't sign a record deal with anyone else. It's very exciting. Like I say, it's a shock to me. I don't know what's going on - I'm sure I'll find out."
It has been alleged that Cocozza may have been axed from the show for boasting about taking cocaine.
Watch Digital Spy's interview with Frankie and the X Factor Boys below:
Move through our gallery of Frankie Cocozza's X Factor journey below: