Rudi Skacel said his final farewell to the Hearts fans as the players paraded the Scottish Cup at Tynecastle, where about 14,000 fans had gathered.
A downbeat Skacel at Hearts' victory parade
The Czech midfielder, 26, who scored Hearts' goal at Hampden, is determined to move in the summer.
"This is very difficult for me, to say goodbye," he told BBC Scotland.
"I must leave, but I don't want to talk about this today. I am unhappy with some things but the supporters are fantastic and I have to say thank you."
Hearts took up an option in their loan agreement with Marseille to keep Skacel for a further two years.
But it appears that deal will simply allow Hearts to demand a fee for the player from potential suitors.
However, club owner Vladimir Romanov says Skacel will only be allowed to leave on his terms.
"If Rudi has the chance to go to a good club then we will give him that opportunity," he said.
"But if he is just being twisted out of a good club to go to a mediocre club by his agent we won't let it happen."
Skacel and Hartley on the open-top bus ride through Edinburgh
Paul Hartley said after the penalty shoot-out win over Gretna on Saturday that he hoped Skacel would stay, but that now seems a forlorn hope.
But Hartley sees his own future at Tynecastle.
"I definitely want to finish my career here. If they gave me a long-term contract then I would sign that tomorrow," he said.
"Since I have come to this club the fans have been absolutely phenomenal.
"I have found the right club and the supporters have taken to me. I enjoy playing here and hopefully I will be here for another few seasons."
He admitted the jubilant scenes in the streets of Edinburgh and at Tynecastle, as the team were driven through the streets in an open-topped bus, were phenomenal.
"It's fantastic. This will live with me for a long time," he added.
Captain Steven Pressley echoed Hartley's sentiments.
"These are remarkable scenes. I'm holding back the tears."