The 34-year-old was given a rousing reception by supporters in his 709th game for the Reds, which ended in a 3-1 loss to Crystal Palace.
“It was very emotional. An unbelievable send-off,” he told BBC Sport.
“I am very proud looking back at the last 17 years and I will never forget this day.” Steven Gerrard was greeted by a guard of honour for the Anfield farewell
Gerrard will play his final game for his hometown club away at Stoke next weekend, before leaving to play for LA Galaxy in the United States in the summer.
Liverpool supporters arrived at Anfield hours before the game against Palace to pay tribute to the former England midfielder, who was given a guard of honour by both teams on his way to the pitch before kick-off.
The result did not match the sense of anticipation in the ground, with Palace coming from 1-0 down to win 3-1.
But the Liverpool faithful roared its approval as Gerrard addressed the crowd after the game, while his team-mates looked on, all wearing shirts with the name Gerrard and the number eight on the back.
“Steven got a wonderful send-off and he gave everything right to the end,” said Reds manager Brendan Rodgers.
“It was fantastic for him and his family but obviously the result and performance were disappointing.