Collingwood feared the worst when he was called to a meeting with national selector Geoff Miller at short notice on Wednesday, but it still came as a massive shock to hear official confirmation that he would be replaced by Stuart Broad.
The Durham all-rounder, who captained England when they beat Australia in the final of the 2010 World Twenty20 competition, had retired from Test cricket to concentrate on staying fit and motivated for the Twenty20 role.
But now he has suffered a hammer blow which could cause him to consider walking away from international cricket. "I was full of optimism about trying to regain my form and my place in the one-day side," Collingwood told the Mail on Sunday.
"As for the longer term, after retiring from Test cricket in the winter I had my sights set firmly on leading our defence of the World Twenty 20 Cup in 2012.
"So when Geoff Miller told me, it was like a juggernaut had come along at full steam and completely wiped me out...just disbelief.
"I felt a bit uneasy when I took the call. The problem was, try as I might, I couldn't think what else he would need to see me about.
"Then again I thought to myself, 'Hang on, I've been captain of a side who've won the World Cup and set a world record. Can they really sack me after that?' All in all, I had a pretty sleepless night.
"We met at 8.30 and while I had prepared myself for the worst, no one can prepare themselves for the words when they come.
"What was so horrible was that I knew the decision had been made. It was not as if I could ask for a recount. I was devastated, gutted."
The decision to go with the younger Broad in place of 34-year-old Collingwood is part of an ECB move to have a different captain for each form of the game.
Andrew Strauss remains Test skipper but gave the captaincy of the one-day team to Alastair Cook.
Collingwood, who played in three Ashes-winning campaigns with England, admits he is likely to remain available for one-day international selection, but it will be some while before the wounds heal.
"After having decided to retire from Test cricket, my desire and motivation to lead England on to the next World T20 grew stronger. It was my passion, my last big ambition in international cricket. It meant a massive amount to me," he added.
"And by not playing Test cricket, I felt I would have the mental freshness to carry on as leader and to prolong my form when it came back and extend my international future.
"Now, while it would be madness to cut things short straightaway, the future is far less clear than it was four days ago. I have some thinking to do."