The veteran defender will not extend his stay at the Rossoneri beyond this season, and played his last game for Milan on Sunday in the 2-1 win over Novara.
"This was my last match at San Siro. It's very hard to speak during a moment like this. Emotions are taking over everything," Zambrotta stated to Sky Italia.
"It's really strange to see all the others wave goodbye to Milan here. My last game at San Siro is a very special moment, but it will not be the last match of my career.
"I have not decided yet where my future lies, though. We'll see."
Zambrotta joins Alessandro Nesta, Filippo Inzaghi, Gennaro Gattuso, Mark van Bommel and Clarence Seedorf on their way out of Milan this summer.