Bruce officially starts work on Friday and watched the Owls’ FA Cup fourth-round exit on TV and despite the club’s 3-0 defeat, Agnew says the support will have left an impression upon him.
He said: “Steve has made the decision to join Sheffield Wednesday because of the fans, who were just unbelievable.
“We just never got that chance or goal to keep them going. But they stayed with it.
“It was disappointing to concede the second because at 1-0 – and it was a penalty – we said at half-time that if we continued the level of performance and organisation for a longer spell, the pressure would have increased on Chelsea.”
Meanwhile, Agnew felt both VAR decisions which went against the Owls in the first-half were the right calls.
In the first instance, Andre Marriner overturned his original decision to point to the spot after Joey Pelupessy went down under the challenge of Blues player Ethan Ampadu.
Four minutes later, video reviews confirmed his decision to award a penalty after Sam Hutchinson fouled Cesar Azpilicueta.
Agnew said: “I do not think you can deny that both decisions were correct.”
The Owls’ exit means that Doncaster Rovers and Middlesbrough will fly the flag for Yorkshire in tonight’s fifth-round draw.
Rovers booked their place in the last 16 for the first time since 1955-56 following a 2-1 win over Oldham Athletic, while Boro face a tricky replay at League Two side Newport County.