The experienced stopper swapped Malaga for Manchester City this summer, but returned to his former home this weekend to pay an emotional tribute to the Primera Division side.
"I'm more nervous than the first day I played here. I've taken an important step in my career, for myself and my family. I have no more words than to say thanks to a club that allowed all this to happen for me," Inside Spanish Football quotes Caballero as saying at a press conference.
"I'm leaving a club where I've been very happy, because I was treated phenomenally well, like I've never experienced anywhere else and this affection is something I'll take with me wherever I go.
"In my heart, I'll take all that affection and hopefully it will be reciprocal. I always tried to give everything I could for this team and these colours. I came back today to say goodbye, because I think it's more dignified to do things this way. Hopefully the doors will remain open for me to return one day.
"A part of my heart will always stay here and the other part is going to England. Now all I would like to do is wish the very best of luck to all my former teammates. I'm really going to miss them all and I'll keep trying to grow as both a player and a person."
Caballero will battle Joe Hart for the gloves at City next season.