A lot of really poor advice so far in this thread. Unfortunately your personal best bet is probably to do nothing. If it really bugged you, find a new job silently because everyone is hiring.

The realistic answer is that you deliver the news to your team during your one on ones, explain the matter was not in your hands, and move on. If someone leaves over pay (which is reasonable) but you do not control pay, then it's not on you.

Don't be too hard on yourself.