The Brazil international had been in talks over a new contract at Stamford Bridge but negotiations broke down over the length of his deal.
"They were seven wonderful years," he wrote on Twitter. "In August 2013 when I received the offer from Chelsea, I was convinced that this was where I had to play.
"Today I am certain that it was the best of decisions. There were so many happy times, some sad, there were trophies and it was always very intense.
"Yet, beyond the trophies, I learnt a lot about myself. I developed a great deal, becoming a better player and a better person. With each training session, with each game, with every minute spent in the dressing room, I was always learning.
"I am really grateful to the Chelsea fans for the affectionate way they welcomed me at Stamford Bridge and their support throughout my time at the club.
"There was also criticism, which is normal, what is important though is that both the affection and criticism drove me to always give my all in every training session, every game, to be constantly improving until my very last minute in a Chelsea shirt!
"The time has now come to move on. I am certainly going to miss my teammates. I will miss all the staff at the club who've always treated me like a son and I will miss the fans. I leave with my head held high, safe in the knowledge that I won things here and always did my best in a Chelsea shirt!
"My heartfelt thanks go out to all of you and God bless you!"
"After five wonderful years my stage at Chelsea comes to an end," he wrote on Twitter.
"Thanks a lot to the club's board, to the coaches and team-mates I've had, and of course to the fans: thank you for the experience of being a member of your big family. I've been very happy here, you've made me feel like home."
Between the two of them, Willian and Pedro won three Premier League titles, the Europa League, the FA Cup and the League Cup during his time at Chelsea.