Banega admitted he had mixed emotions after winning the Europa League in his final game for Sevilla.
The midfielder, who first joined the LaLiga side in 2014, had five years with the club over two spells but will now complete a move to Saudi Arabia side Al-Shabab.
The 32-year-old paid tribute to his manager and team-mates as he admitted he was sad to be leaving.
"I have no words for this emotional and at the same time a bit sad moment. I have to leave the club of my life, but I am satisfied," Banega told Movistar after the game.
"I am leaving with another title, thanks to my team-mates, and I am leaving with my head held high.
"I want to thank all of them [the Sevilla players] for making me win another cup and the coaching staff for taking us to the top.
"The hug with Julen [Lopetegui after the final whistle] was one of love and work because of what we went through this season. I remember when I lowered the level a bit, he left me out of the team and showed me that without work you can't get anything.
"Now I have to enjoy, take the cup to Seville, to the people who could not be here but that we feel close too."