The 21-year-old arrived at Valencia's Paterna training ground with his teammates but was there to say his goodbyes instead of taking part in pre-season.
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Mosquera is set to move to north London for a fee that could exceed €20 million (£17 million/$23 million).
He told reporters, per Marca: "Valencia is my home and it always will be. I arrived when I was 12, and now I'm leaving as a grown man, a little sad because you've been here your whole life, but decisions in football are like that. Now a new era begins."