In a letter published in Spanish and English on his personal website, rafabenitez.com, the 55-year-old said: "I want everyone at the club from the Board of directors, executives, workers and all of the fans, know that it has been an honour and privilege to be in charge at this club."
Benitez was sacked on Monday night after just seven unhappy months in charge at the Santiago Bernabeu, leaving Madrid in third place in La Liga, four points behind leaders Atletico Madrid.
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They were thrown out of the Copa del Rey for fielding an ineligible player in a tie against Cadiz but are through to the last 16 of the Champions League, where they will face Roma.
Determined to bow out with his head held high, Benitez added: "As a madridista (Madrid fan) from Madrid, steeped in the traditions and values of this institution...it has been an honour to work for these colours.
"I would especially like to thank everyone...who since my first steps through the door have supported me and made my work easier. Thanks to all for helping.
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"I would like to wish good luck to Zinedine Zidane, my successor, and his staff. To all the players, coaches and staff in both Valdebebas (the training ground) and Bernabéu, I wish all the best and also good luck."
Benitez's statement comes despite him struggling to gain the respect of Madrid's star-studded squad during his time at the helm with many senior players voicing their displeasure at the sacking of his predecessor Carlo Ancelotti.
A run of three league defeats in five games in November and December, including a 4-0 thrashing at home to Barcelona, wiped away the early credit Benitez had gained with an unbeaten 14-game run to start his reign.
Further embarrassment was to follow with the Copa del Rey debacle and Benitez's relationship with the dressing room failed to improve with key players such as Karim Benzema and James Rodriguez often showing their disgust at being substituted.
And captain Sergio Ramos failed to offer a strong sign of support for Benitez when given the chance after the 2-2 draw at Valencia on Sunday that proved to be his last game.
A Madrid native, Benitez had played for Real's second team and started his coaching career in the 1990s in charge of Castilla, where Zidane has also been learning the ropes.
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