Defoe listed his friendship with six-year old Bradley Lowery, who is enduring a heartbreaking cancer battle, as one of the highlights of his two-year stint with the club.
The statement on Twitter read: "I'd like to thank all the Sunderland fans for their support and everyone else involved with the football club.
"I had an amazing time with many great memories.
"I'm going to miss so many people at the club from the canteen staff and the chef to the laundry girls and the cleaners who always made the boys smile no matter what.
"I feel blessed to have played for such a great football club with some of the best fans I've ever come across.
"The highlight of my time has to be walking out with Bradley against Everton and that volley against Newcastle - a goal people still come up to me and talk about!!
"I want to wish everyone at Sunderland the best for the future.
"There's some talented players there and some great youngsters pushing through, so I can't wait to see you back in the Premier League.
"I'm looking forward to my new challenge and can't wait to get started at AFC Bournemouth!"