The Korean star failed to score in the Premier League and will leave the club when his contract expires in June.
"I was at Middlesbrough for 18 months and it was a meaningful time," Lee said on his return to South Korea.
"I don't think that it was wasted time. I did my best; I got some good experience and have no regrets about my time in England."
Lee has been linked to clubs in Japan and Germany but is keen to stay in Europe.
"Wherever I go in the future, the time I spent in England will be a big help.