Off contract in June, the Austria captain is expected to join Real Madrid this summer.
He explained his decison to leave Bayern, stating: "It is always difficult when the moment of the end comes and it is no secret that I have always felt very comfortable here.
"Of course I leave Bayern with a tear in my eyes, but at the same time I am happy for my future. It was not a decision against the club.
"I made the decision for myself. I wanted to do something new and take a step forward. To grow, you have to get out of your 'comfort zone', and I put this in quotes because I don't want it to be misunderstood.
"At Bayern sporting expectations are always extreme, whether they come from those responsible for the club, in the dressing room or from yourself. I mean that one has to go into the unknown to mature again."