The 31-year old Brazilian midfielder, who moved to Miami with his family when he was 15, has finished his deal with the Phoenix and will go home for the first time in four years.
He told au.fourfourtwo.com that he will now head back to Florida and is eyeing a MLS contract if possible.
“I’m done. There’s a big possibility of me finding a club there [in the US]. I’d be looking to play MLS,” he said.
“I just got my residency back in the States. I have an agent who is looking for something there. If not, then the usual, which is looking for something in Asia.”
And the departing Diego said he cannot fault the Phoenix despite the fact he made just 10 appearances in two years.
“I was out of favour in the past year. It’s just how it goes sometimes. I can’t blame Ricki (Herbert), that’s his decision," he added.
“If you look at Phoenix the way they play, they’re not a team that keeps the ball. For players who grew up in South America we play in a certain way.
“It’s a physical style of play. When you look at Phoenix play, we just run our asses off. It’s a very fit team. Some of the South American players aren’t used to that. Maybe that’s a reason.”