Fernandes insisted he will not forget his time on the south coast after sealing his return to the Premier League by joining West Ham United.
The Portuguese youth international decided upon this new path as he felt it was "the best for my growth and for my future".
Saints boss Will Still revealed a conversation with Fernandes in which the 21 year old outlined his desire to make Portugal's squad for next summer's World Cup.
"The time has come to say goodbye after a super challenging and, at the same time, an incredible season," Fernandes wrote on Instagram.
READ: Saints confirm sale of Fernandes to West Ham in deal worth over £40m
"From day one, I felt welcomed, supported, and inspired—not only by my teammates and the coaching staff but especially by the passionate fans who were always by our side.
"I will never forget the game against Leicester — that energy, that passion from the crowd is a moment that will forever be engraved in me as simply unforgettable.
"I’m sorry if I disappoint you. I know change isn’t easy to accept, and believe me, this was not a decision taken lightly.
"I chose this new path because I believe it’s the best for my growth and for my future. I know it may hurt, but I hope you understand it’s something I need to do for myself.
"I sincerely thank you for all the support you have always given me, and I hope we can keep good memories of the time we spent together.
"Southampton will always be special to me and my family."