Hodgson will be in charge of Albion for the final time in Sunday afternoon's home Barclays Premier League clash with Arsenal.
But he is quick to praise the support he has received during 15 months at the Hawthorns and hinted he would have signed a new contract had England not offered him the role.
Hodgson, in his programme notes for the game, said: "I must confess to a feeling of sadness at leaving West Brom. I have been very happy here and it is no secret that I was in advanced talks with the club over a new contract.
"I was not looking to leave the club but as a proud Englishman, when I was offered the opportunity to manage the national team, it was something I could not turn down.
"I would like to say thank you to everyone who has worked with me at the Hawthorns in terms of the football staff and those elsewhere at the club who have all worked so hard to help take the club forward."