“I was shocked,” Underwood, 27, tells PEOPLE exclusively. “I had no idea it was coming.”
Randolph and Underwood’s relationship quickly progressed on the show, from close friends to a real romance. Underwood broke traditional show protocol by declaring his love for Randolph before the finale, but the 23-year-old speech pathologist couldn’t reciprocate his feelings.
“It was right back into the trap of loving somebody who wasn’t quite there with me,” says Underwood, who was also left broken-hearted when The Bachelorette’s Becca Kufrin sent him home during her season last year. “It was very hard for me to hear.”
And Underwood says that despite warnings from fellow contestants like Katie Morton, Sydney Lotuaco and Tayshia Adams that Randolph might not be ready for marriage, he never had reason to believe things wouldn’t work out.
“I don’t get to see what’s happening when I’m not in the room,” he explains. “When I’m in that relationship, it’s based off my feelings and my gut and my heart. These women are entitled to their own opinions and I respect that, but they’re not in that relationship.”
Ultimately, Underwood admits, “I just didn’t know where Cassie was at and I tried to get those answers.” But, he says, “in my opinion there were no red flags.”
Still, Underwood says the show will go on.
“You’ll see a very important conversation I have with Chris Harrison and with my dad that plays an important role moving forward,” he says. “It’s definitely emotional.”
The Bachelor airs Mondays (8 p.m. ET) on ABC.