"I knew I'd be leaving the club so it wasn't a surprise. It will be strange, though, when everyone goes back training and I won't be there," he admits.
"I've been there since I was 16 and I have just turned 35, so it's 19 years all in all - but nothing lasts forever and life goes on and you have to move on - you can't stay at one all the time."
Steve made his debut on the first day of 1985 against QPR but, after just two league starts in 2000-01, he did not get any further appearances under Glenn Roeder.
"I was stuck on 399 league games, just short of the 400, but that's the way it goes," he says.
So his 400th league appearance will not be in claret and blue, and he adds: "I will have to wait and see what happens and make a decision from there. I would like to play for another year if that is possible and take it from there."
He is not limiting himself to playing in the south of England, and adds: "I would go anywhere, that wouldn't bother me. Obviously the closer the better would be ideal, but if that was not to be I wouldn't mind."
And again, he is not restricting himself to staying in the top flight, and explains: "I would like to stay in the Premiership, but at 35 maybe dropping down would be more of an option.
"I didn't play last year, only in the reserves. I was fit all year, and when it came to the end of the season I didn't feel tired at all because I didn't feature.
"I still feel fresh and I would like to carry on. Hopefully I will have offers and take it from there."
The main reason he did not play last season was because of Tomas Repka and Christian Dailly taking the central defensive positions, and Steve admits: "They formed a good partnership, the two of them, and it was hard to dislodge them. There were others trying as well, like Foxey and Ian Pearce, and they couldn't force their way in either."
USA born Steve leaves with no regrets, and says: "There were loads of good memories over the years, and West Ham have been good to me.
"I think, looking back, the promotion years were good years, and from a personal point of view getting Hammer of the Year twice was very nice - I would probably put those down as the highlights."
Steve became legendary for only scoring the one goal in his career, against Hull City in October 1990 - a match West Ham scored seven in, and he reflects on his goal scoring prowess: "The only and only goal? It would have been nice to get a few more, but it just wasn't to be.
"Everyone kept on about me only scoring one goal, and if I had got another it would have taken the pressure off a little bit - but it wasn't to be.
"I had a few chances over the years and I wish I had been a bit more ruthless and tucked them away, but it didn't happen."
Another amazing statistic to be associated with Steve is that he has served under more than half of the managers in the club's entire history - starting with John Lyall, and he smiles at the thought: "Five out of nine - that must be more than most!"