Fernandez made a controversial move in the winter of 2023, after the 2022 World Cup.
Benfica did want to retain him for another six months or even a further season, but were powerless to stop Chelsea signing him for £106 million.
"Let me say hello the Benfica fans, who always send messages and remember me," Fernandez said.
"Obviously I didn't like the way I left the club, but I am very grateful to the club and everyone for all the support they give me."
Fernandez has earned praise from coach Enzo Maresca this season, who said about him: "I think it's very difficult in the way we play to find a midfielder that can attack like an attacking midfielder and defend like a holding midfielder. For instance, Arsenal are using Declan Rice as an attacking midfielder on the ball and as a holding midfielder when defending. Man City, in the past, have done this with Ilkay Gundogan.
"In our case, we are trying to find the balance and find the players who can give us this kind of solution. At the moment, Enzo is the only one. When we have the ball, he is playing like an attacking midfielder, and is dropping next to Moi (Caicedo) when we don't have the ball to help us and give us defensive balance."