The 48-year-old Italian Antonio Conte was axed last Friday, 55 days after lifting the FA Cup in his final match in charge, with Maurizio Sarri appointed his successor 24 hours later.
"I would like to thank all of my friends at Chelsea Football Club for their hard work and support over the past two seasons which enabled us to win the Premier League and FA Cup together," Conte said in the LMA statement issued on Monday.
Conte thanked his players, staff and the Blues fans, adding: "It was fantastic for me to be able to share my emotions, passion and enthusiasm throughout two unforgettable seasons with these amazing Chelsea supporters, who will always stay in my heart.
"I hope Chelsea will continue to be successful and I wish everyone well for next season.
"I have made many memories during my time with Chelsea, which I will take with me into my next challenge."