"I'll remember coaching Ray Bourque until the day that I close my eyes," he said.
Bourque, who waited 22 years to win the National Hockey League's premier title, spent 20 years at the Boston Bruins before joining Colorado.
He had been widely regarded as the best player never to have won the Stanley Cup before his moment came this year.
Bourque, in a career spanning four decades, was the highest scoring defenseman in NHL history with 410 goals and 1,579 points.
"For me I know this is the end of the road," Bourque said on Tuesday.
"I'm going to watch it. I'm going to pop in once in a while. I'm going to show up on the road. For sure, I'm going to miss it."
Avalanche head coach Bob Hartley said coaching Bourque was one of the highlights of his career.
"I'll remember coaching Ray Bourque until the day that I close my eyes," he said.
Bourque left Boston toward the end of the 1999-2000 season because he wanted to play for a team that had a chance to win the Stanley Cup.
"It's nice that I'm able to say I'm leaving the game with absolutely no regrets," Bourque said.
A 19-time All-Star, Bourque proved this past season that even at his age he could continue to play at the highest level if he chose to do so.
But while he loves the game, playing 22 years takes something out of a person and training periods were getting harder, he said.
Also, the Future Hall of Famer and father of three said he missed his children and wanted to spend more time with his family.