The French defender completed a permanent move to Deportivo Alaves on Thursday evening after an impressive loan spell with the Spanish side.
"I wanted to thank @NUFC for all the time spent at the club," Lejeune posted to social media.
"I met wonderful people who always have been there for me.
"I'm facing a new challenge and I couldn't be more thankful to all the fans, teammates and the club's staff. I wish you all the best for the upcoming season."