The former Rays first baseman took out a half-page ad in Monday's St. Petersburg Times in which he poured out his heart to express his feelings.
Here's a sample from Pena's message:
"Now I know more than ever that anything is possible if I believe it to be with all my might. When I first became a Ray we were the worst team in baseball. But what was about to happen next, not even the greatest fiction writer in the world would have been able to come up with it.
"I have never in my life seen a team come together in such a way, where everyone humbly but undeniably believed with all their strength that we could make it to the top. This is the story of the little engine that could. The underdog story. The story of a team in oblivion, that went on to become American League East Champs twice, American League Champs once, and made a World Series appearance.
"I am so honored to be able to say that I was a part of that. I am so honored to be able to say that I was a RAY. Thanks for cheering for me when I performed well, but most importantly thanks for patting me on the back and encouraging me when it was difficult."
Pena explained his intentions for the ad during a telephone interview from the Dominican Republic.
"I didn't want to leave without stating how much playing here, being a part of the Rays and living in the area meant to me," Pena said. "That's all I'm looking to do, just give thanks to the fans and the area because they're obviously very special to me."
Pena's comeback story almost did not happen when the Rays cut him at the end of Spring Training in 2007. Shortly after he got the news that he would not be on the Rays' Opening Day roster, Greg Norton suffered a knee injury that required surgery, prompting the Rays to summon Pena back to the big leagues for Opening Day. And the rest became history, the kind that Rays fans revel in.
"My heart is very close to this team and this area, because of the way things happened for me," Pena said.
"The way I came to this ballclub, for me, was almost miraculous. I remember I just came in as an invitee to Spring Training. And I remember praying really hard, just to be part of that 25-man roster. And how that was my biggest wish -- just to be a part of it. And at that moment, Tampa Bay was the worst team in baseball. But I wanted to wear that uniform very, very much. For it to happen the way it happened, it was very special, it was very magical."
Pena went on to accomplish a great deal while with the Rays. He set club records for home runs (46) and RBIs (121) in his first season, in addition to earning AL Comeback Player of the Year honors. He won a Gold Glove for first base in 2008, and then won an AL home run title while missing a month of the season in 2009 (which he shared with Mark Teixeira of the Yankees). He was the consummate teammate and clubhouse leader, and through it all he wore a charismatic smile that collected friends.
"Things happened and I had the best year of my life [in 2007], and I go on to have four years with the Rays where I experienced so much incredible baseball, and fun, and I see the team grow into the best team in the American League, the best team in baseball, the best record," Pena said. "And I'm part of that growth, and I feel like I'm growing with the team. All of that was just amazing."
Pena is looking forward to playing for the Cubs and feels that playing in the National League will help with his transition from the Rays and the area that he loves.
"It definitely helps," Pena said. "I might be somewhere else. I know you have to be professional about it, but it's definitely a lot easier this way, you know."
Pena said he will continue to cheer for the Rays and he hoped that Rays fans will cheer for him with the Cubs, too.
When asked about his best memory with the Rays, Pena noted "it's not that easy" due to the many good memories he has.
"But I'd probably have to say our World Series year," Pena said. "That was a lot of fun, that was the best -- unbelievable! To have that experience -- that's the most fun I've ever had in baseball.
"I've learned a lot. I've grown a lot. The growth is not the end yet. I know there's a lot left to be learned. But it's a process. I've learned so much with the Rays. It's just, wow. I'm so thankful."
Bill Chastain is a reporter for MLB.com. This story was not subject to the approval of Major League Baseball or its clubs.