The former England and Chelsea midfielder got on the scoresheet as City beat Southampton 2-0 and wrapped up their Barclays Premier League campaign with a sixth successive win.
It was Lampard's 259th goal in 882 club matches and the perfect send-off as he now joins fledgling Major League Soccer outfit New York City.
"It was emotional but I am very proud," said 36-year-old Lampard, whose contribution to English football was acknowledged with a presentation after the game.
"There were loads of emotions - a tiny bit of sadness to finish but much more of a good feel.
"The game went well, I scored a goal and what the club did for me at the end and the way the fans reacted - I couldn't have asked for much more.
"I can go away saying it was an absolute pleasure
I still feel fit and I feel like I can play for a couple more years
Maybe I could have done that in the Premier League, my choice is to play in America.
"That is my new challenge now
I feel fit and ready to go for it
I don't want to go and make up the numbers
I want to go there and carry on and do something good."
Lampard, who was released by Chelsea last summer, joined City as a training stop-gap before planning to move to New York for the start of the 2015 MLS season
But the move proved unexpectedly fruitful and - amid much confusion over the exact terms - City reached agreement with their sister US club to retain him until the end of their 2014-15 campaign.
Lampard admits there was frustration after that extension was agreed as manager Manuel Pellegrini then stopped playing him regularly
It proved a critical period of the season as City fell behind Chelsea in the title race.
Lampard said: "The only difficult period for me was when we went into the new year level-pegging with Chelsea at the top
I felt I was really contributing to the team but then I had a few months where I hardly started any of the games and that was difficult
"It was a frustrating couple of months but I kept a level head about it because I was just very happy to be here."
Lampard has put that behind him by starting the last six games as City have at least finished the season well after tamely surrendering the title they won last year.
He opened the scoring against Southampton by turning in a low cross from James Milner after 31 minutes.
Sergio Aguero, who was twice denied by veteran Saints goalkeeper Kelvin Davis in the first half, added the second with a close-range header after 88 minutes
It was Aguero's 32nd goal in all competitions and his 26th in the Premier League, underlining his status as golden boot winner.
City will now look to rebuild - and the future of a number of players is uncertain - but captain Vincent Kompany believes there is a strong base to build on despite this season's disappointments.
Kompany said: "We finished in the way we wanted to finish to be competitive again next season.
"This season was about ups and downs
We had some incredible spells - and I don't think we had so good moments last season when we won the league
But we had some complete breakdowns and you are not allowed to do that at this level.
"There are a lot of lessons to be learned but ultimately we finished second and second best is the closest contender to the title."
For Southampton it was a disappointing end to what has been a highly impressive season
Manager Ronald Koeman has shone in his first year at the club, producing a fluid and attractive team after inheriting a squad shorn of some of last season's stars.
Their final position of seventh could yet be good enough for a Europa League spot if Arsenal win the FA Cup.
Koeman accepts he has a lot to live up to next year.
He said: "The fans know how good it was this season but next year it will be more difficult
The expectation will he higher and you get always a reaction from the bigger teams.
"But we can be proud
We will still believe in our qualities and the philosophy the club wants to bring
We try to bring young players in and play good football."
Source : PA