Conte re-established the Bianconeri as the dominant force in Italy by guiding them to three successive Scudetti titles before resigning from his post on Tuesday.
The 44-year-old is thought to have fallen out with the club's hierarchy over midfielder Arturo Vidal, whom Conte was keen to retain despite big-money offers from abroad.
"THANK YOU! That is all I can say," Marchisio posted on Facebook. "These have been three incredible years... full of sacrifice and satisfaction. Once again... THANK YOU!
"Aside from the decision taken by the coach, I can only thank him... He not only brought us to victory, many of them, with records upon records, but above all transformed us into a great team after unhappy years all Juventini remember."
Conte joined the Turin-based club in 2011 and last season led Juve to Serie A glory by winning 102 points - a division record.
The ex-Siena coach has since been linked to the vacant Italy post.