Southampton signing Rodriguez: Burnley always special to me
Rodriguez insists he is excited about the future, but admitted he was equally sad to be exiting Turf Moor.
"I've been there from being 11 years old," he said.
"The managers I've had there, from the centre of excellence to the youth team to my professional career have been great to me, the fans have been brilliant and all the lads I've met. It's been a great experience for me. I can't thank (everyone) enough.
"It's obviously a sad time for me, moving away from the club, but I will always follow the club. They still have a place in my heart. Burnley's a great club and I've made great memories there."