Ranieri led Leicester to the Premier League title in 2016.
“I have sadness for these marvellous fans. Football brings dreams and also nightmares," he told Sky Sport Italia.
“I will always remember a game against Sunderland, which is practically in Scotland. I saw two or three buses full of old people who had travelled to attend the match and I thought, what time did they get up to make this journey?
“There is also a big Asian community in Leicester and many of them told me they were grateful that football helped to unite the city more. That goes beyond the Premier League that we won."