James swapped Madrid for Bundesliga giants Bayern on a two-year loan deal after falling down the pecking order in the Spanish capital.
The 25-year-old was unable to cement a regular position in Zinedine Zidane's starting XI and was left out of Madrid's Champions League final squad altogether.
However, James – who has the option of a permanent transfer to Bayern after reuniting with former head coach Carlo Ancelotti – had nothing but praise for Madrid's supporters.
Queridos madridistas solo me embarga la gratitud por todos los buenos momentos que pase, fueron tres años maravillosos, me voy feliz de haber podido vestir esta camiseta , la cual siempre vestí con mucho orgullo, solo me resta decir gracias por todo el cariño, me llevó conmigo las mejores experiencias, gracias por todo! éxitos siempre. James10
"Dear Madridistas, I am grateful for all the good moments we have shared in three wonderful years," James posted on Instagram on Tuesday.
"I'm happy to have been able to wear this shirt, which I always wore with a lot of pride, and I can only say thank you for all the love, I will take with me the best experiences. Thanks for everything!"
Colombia international James scored 36 goals for Madrid following his arrival in 2014.