Di Matteo, who played at Stamford Bridge between 1996 and 2000, led the club to a double of the FA Cup and Champions League last season, but was sacked earlier this week by owner Roman Abramovich after a run of just two wins in eight matches.
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"It has been a difficult week all round both on and off the pitch,” the Chelsea skipper wrote.
"I want to say that it was a privilege to play for Robbie. I had the pleasure, as a [youth training scheme] player growing up, of watching and learning from him and to go on and play under him as captain was an honour.
"To win two competitions last season, including the Champions League that we had wanted for so long, was incredible.
"Robbie is a great man and an absolute legend. We wish him every success in the future, because saying thanks doesn't seem enough."