He arrived from Sevilla in 2016 and scored 207 goals to become Lazio's all-time top scorer, winning both the Italian Cup and Italian Super Cup twice with the capital club.
As he left Italy for a rumoured contract with Turkish side Besiktas, Immobile admitted it was an emotional departure.
"An exceptional journey, but like all beautiful stories there's a beginning and an end. The fans have been fantastic, they've given me everything," he told Sky Sport Italia at the airport.
Immobile denied there was bad blood in his departure, despite captaining a Lazio team plagued by his own leg injuries and ending the season with mediocre results and seventh position in the table.
"No, it was a decision made with the utmost calm. The last year and a half have not been easy, it is right that this happens now. It is nobody's fault," he said.
In a video on Lazio's home page, Immobile marked his farewell to the fans with some words.
"I think the moment has come to say not goodbye, but see you again. This will always remain my home," he said.
"I will cheer you on. I am a Lazio fan. I send hugs and hope to see you soon."
