The 35-year-old defenceman was found unconscious in his home in Mississauga, Ont., early Sunday morning and was later pronounced dead, according to Peel Region Police.
While no cause of death was known, police say no foul play was suspected.
"I couldn't believe it," Myers told reporters in Winnipeg on Monday, prior to the Jets' match-up against the Edmonton Oilers at the MTS Centre.
"A couple of the guys from Buffalo texted me — they had heard before I did — and I was basically just in shock. It was a very sad day yesterday."
Montador began his NHL career with the Calgary Flames during the 2001-02 season. He also played with the Florida Panthers, Anaheim Ducks, Boston Bruins, Buffalo Sabres and Chicago Blackhawks.
Myers, who played with Montador in Buffalo for two years, described the fellow defenceman as "a big team guy."
"He'd do anything for the team, not only on the ice, but he was always the first one to organize team events off the ice and get the boys together any way he could, whether it was a dinner or some sort of team function," Myers said.
"Steve will be missed for sure."
Montador played 571 NHL regular-season games and had a role in the Calgary Flames reaching the 2004 Stanley Cup final.
He was plagued by concussions through his hockey career. Montador suffered a concussion in March 2012 and a year later talked openly and candidly about the injury and subsequent depression.