“Goodbye ChelseaFC what an amazing journey!” the 29-year-old tweeted.
“One FA Cup, one UEFA Cup, wearing these colours gives you a special emotion! Thank you for everything.”
Zappacosta then switched to Italian in a tweet aimed at fans of Atalanta, where he spent four years before moving to Torino and then Chelsea in 2017.
“Bergamo! You’ve seen me grow as a man and as a player: coming back here is really special,” he wrote.
“Thank you for your trust and esteem: I’ll sweat to the last drop for this jersey and this city. As a man and as a footballer.”
Zappacosta made 52 appearances for the Blues before being loaned out to Roma and then, last season, to Genoa. He has 13 Azzurri caps, the last of them in 2012