The Italian was surprisingly chopped from the Stamford Bridge post last week despite winning the FA Cup and Champions League last season with the decision by owner Roman Abramovich criticised by many.
Prior to today's 0-0 home draw with Manchester City, which was overseen by caretaker boss Rafael Benitez, Terry suggested that he loved playing for Di Matteo and simply saying thanks for what he had done for the club was not enough.
"It has been a difficult week all round both on and off the pitch," the Chelsea skipper wrote in the programme notes.
"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."