Donnarumma won the Champions League final with PSG before leaving for City last month.
He recalled to L'Equipe: "I left a letter to each of my teammates to thank them for this amazing journey. I wrote it in several languages so everyone could understand it.
"It was something I felt, something I wanted to share and pass on to all my teammates, for everything we had already accomplished. The only thing missing was the final piece of the puzzle to complete the journey in style. I'm also happy that it was taken to heart, and I hope I've contributed something to everyone."
Asked about the contents of the letter, Donnarumma said: "I can't talk about it because it's personal, team-related. But it was a sincere letter, a letter written with love for all my teammates.
"I tried, through these words, to convey everything I'm about, all the love I feel for them, for all the work we've done together, for all the years we've suffered together."