This afternoon, Captain Klay posted on Instagram a montage of videos and photos, along with his message.
He says "Oh Bay Area - there are not enough words and images to convey how I really feel about yall... from the bottom of my heart, thank you so much for the best times of my life."
The four-time NBA champion also says "The best part was not the rings though, it was the friendships I made that will last a lifetime."
MORE: Why the Klay Thompson era ended at Golden State
Thompson also included a video of his beloved English bulldog, "Rocco" leaving the Warriors facility.
Thompson's relationship with the Warriors became increasingly strained last season over contract discussions and his looming free agency. His unhappiness grew as his role with the team fluctuated, including him being moved to a bench role in late February. A five-time All-Star, Thompson averaged 17.9 points per game last season, his lowest since 2012-13.
The Warriors wished Thompson well earlier this week, saying that they look forward to retiring his No. 11 jersey, while Stephen Curry, his fellow Splash Brother, paid tribute to him with a message on Instagram.
"Gonna miss you," Curry wrote on Instagram on Tuesday. "Even though we won't finish the journey together, what we did will never be done again. Couldn't have imagined a better run with you and (Draymond Green). Changed the whole Bay Area. Changed the way the game is played. Killa Klay at the center of it all. Thank you for everything bro. Go enjoy playing basketball and doing what you do.
"Splash Bros 4 life my guy."
ESPN contributed to this report.