The veteran forward has bid farewell to the Biancocelesti as he prepares to apply the finishing touches to his move to the Giuseppe Meazza as an understudy to Diego Milito
The 35-year-old participated in his last training session at Formello, the capital outfit's training complex, on Tuesday and is expected to complete his transfer to the Nerazzurri in the coming days.
"[Tuesday was] my last training session here, although there are still some details to tie up before my transfer can be considered complete," he told Lalaziosiamonoi.it.
"I leave Lazio reluctantly. Will I return? Hopefully it will be possible in the future."
Rocchi, who has three caps for Italy, joined Lazio in the summer of 2004 for a fee of €1.5 million from Empoli and scored 105 goals in 284 appearances in all competitions during his time in Rome.