Baraja was shown the door on Monday night after their 2-2 draw with Alaves. The result leaves VCF second from bottom on the LaLiga table and four points away from safety with a game in hand.
Baraja's statement read: "THANK YOU, first and foremost, for the trust placed in me to fulfil one of my professional dreams, to coach my Valencia CF.
"It has been almost two very intense years in which we have shared many emotions, joys and also frustrations. From the first day to the last I have given the best of myself , I have left my soul to help Valencia CF overcome this difficult situation.
"I just want to emphasise my gratitude for the affection of the Valencian fans and my wish and total conviction that this team, which also gives its all to give its best, will achieve its objective. Valencia CF has been, is and will always be in my heart and, despite the fact that it is a sad moment, this stage has been a privilege and a source of pride.
"Hui més que mai, AMUNT Valencia!"
Baraja leaves with over two years left on his contract which is expected in a payoff in the region of €5m.