Sky helped fund Great Britain's first top team. Thomas joined in its debut year 2010 and called it "an incredible nine years."
"It's a shock, disappointing to start with but when you sit back and look at it, 10 years is a long time as a main title sponsor in cycling," he told the BBC.
"It's been an incredible nine years so far and we want to go out on a high and make 2019 the last and the best year yet."
Team Sky general manager David Brailsford said that he is giving himself until July and the Tour de France to find a replacement sponsor to secure the future. The team currently operates on a £34-million budget, the biggest in cycling, so the stakes are high if he wants to keep going at the team's current level.
"We're still confident in Dave and the team that they can continue and keep the team together," Thomas said.
"We see a lot of other teams have lost title sponsors but have continued – Movistar with Banesto and Caisse d'Epargne has been going for over 30 years with different sponsors.
"It's certainly not the end, or at least hopefully it's not the end, so it's also kind of exciting at the same time. It just gives everyone a bit more motivation to keep pushing on."
The news hits as other managers struggle to find big-dollar backers.
Belgian Patrick Lefevere searched for years, without luck, to find a top sponsor to ease the burden on Quick-Step and owner Zdenek Bakala. American manager Jim Ochowicz tried to find a sponsor to keep BMC Racing together. In a last-minute deal this summer, he merged part of the team with second division Polish Team CCC-Sprandi, which wanted to move up to the WorldTour.
Sky is perhaps the best-known team worldwide thanks to its six Tour de France titles and domination in the Grand Tours. When they debuted in 2010, the brought in a new 'marginal gains' approach fuelled by a big budget.
"There's a lot more opportunities out there and when you look at it's one of the strongest sports teams in the world, not just in cycling but in sport in general, so I think it's an amazing opportunity for other sponsors and for us to have different partners," Thomas told ITV.
"Obviously, it's a big unknown but it's exciting at the same time."
Thomas joined the team this week in Spain for a Mallorca training camp. He and other stars including Chris Froome will iron out their 2019 schedules despite the worry of the team's future. Thomas wants to return to defend his Tour de France title.
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