Davies departed the Bantams to join Scottish Premiership side Ross County on a free transfer last week after first moving to the Bantams back in September 2011.
He said: "I just wanted to write a message thanking everyone at Bradford City for their support over the last four years.
"Having made over 120 appearances for such a great club makes me immensely proud.
"One promotion and two trips to Wembley will always stay with me.
"I know I'm leaving the club in a better place than when I arrived, and you all supported me right through until the end.
"That is why I never gave less than 110% for all of you.
"There is a great set of lads, great staff members and fantastic fans here at this club.
"I wish everyone at Bradford City all the very best."