The former Blues boss was replaced by Phil Brown two weeks before the Johnstone's Paint Trophy final but spent the day with the Shrimpers supporters for the game.
Sturrock travelled to Wembley on the supporters' coach before drinking with the fans ahead of the game and sitting among the Southend supporters during the match.
He told Echo News: "Sunday was a superb experience and a day I will never forget.
"In all my years in football, it was like nothing I had ever experienced before.
"I'd just like to say a massive thank you to all of the Blues fans. I hope they all enjoyed the day as much as I did.
"It was the perfect way to bring my time with Southend to an end."