Before the match, the Portuguese coach gave a short goodbye in a statement on Madrid's website after a three-year stint in the Spanish capital.
"I wish all of Real Madrid's supporters much happiness in the future," Mourinho said. "I want to thank many fans for their support, and I respect the criticism of others. I repeat, happiness to all, and above all, good health. Hala (Forward) Madrid!"
After Madrid beat Osasuna 4-2, Mourinho stepped forward and waved with both hands towards the section where Madrid's ultras were before disappearing back into the tunnel.
Spanish media reported that he returned to the pitch later to personally thank the ultras after they called for him to come back out.
Mourinho waited in the tunnel until kickoff before emerging and quickly settling into the dugout. But he was soon on his feet in the area and surrounded by a pack of photographers that stadium security had to usher back.
The reception from the home fans was divided between Mourinho's die-hard supporters, including Madrid's ultras, who held up signs like "Thanks for Everything Mou" and chanted his name. Another segment of fans, meanwhile, whistled in protest, largely upset with the manager's treatment of certain players, the team's lack of major titles this season, and his claims that he is not "loved" in Spain.
Mourinho maintained his media silence after the match, avoiding yet another press conference since club president Florentino Perez announced last week that he agreed to release him from his contract.
Mourinho, who in his career has won the Champions League twice and league titles in Portugal, England, Italy, and Spain, is expected to return to Chelsea in the Premier League next season.
After winning the Copa del Rey in his first season and the Spanish league in his second, Mourinho and the club agreed to part ways following a third season with only the Spanish Supercup to add to the trophy case.
Mourinho has been heavily criticized for his benching of captain and goalkeeper Iker Casillas this season, and has had run-ins with other players like Pepe.
Other Madrid players wished Mourinho well and even lamented that they let him down.
"Am I sorry that Mourinho is leaving? Yes, I am sorry because he had given his all for Madrid," defender Alvaro Arbeloa told GOL television. "He worked so hard for us and it's a pity that we weren't able to take full advantage of these three years to win more titles."
Madrid was locked into a second-place finish for weeks after falling behind champion Barcelona from the start of the season. It finished 15 points behind its fierce rivals. It was also eliminated in the semifinals of the Champions League for the third straight season under Mourinho, and lost the final of the Copa del Rey to crosstown rival Atletico Madrid.