His single to right field in the bottom of the ninth inning scored Antoan Richardson to lift New York to a 6-5 win over the Baltimore Orioles on Thursday night.
Jeter was mobbed by his teammates and greeted by former teammates and Yankees legends before taking a moment to himself on the field.
"Don't cry," he said when asked on the YES broadcast what he was thinking during his final at-bat.
"To be honest with you, I don't know how I played this game."
The fans stood, applauding, until Jeter disappeared into the dugout and down the tunnel to the clubhouse.
"I want to thank everyone here," he said on the YES broadcast. "I've said it time and time again. Everybody is chanting, 'Thank you, Derek.' I'm thinking to myself, 'For what?' I just want to thank you guys.
"Everything [I will miss], but most importantly, I'm going to miss the fans. They are what made this special."
Jeter also said after the game that this likely was his last game at shortstop. The Yankees close the season with a three-game series at Boston, but Jeter said he probably would serve as the designated hitter.
Jeter's final game at Yankee Stadium hardly could have started any worse — just eight pitches in, New York starter Hiroki Kuroda had given up two home runs — but by the time the first inning ended, the momentarily hushed crowd was chanting Jeter's name again.
Virtually single-handedly, Jeter brought the Yankees back to even. He doubled off the wall in left-center — barely missing a home run — to drive in Brett Gardner for the first run. Jeter then scored when the next hitter, Brian McCann, hit a grounder that Orioles second baseman Kelly Johnson couldn't handle, tying the game at 2-all.
Then, in the seventh, Jeter put the Yankees ahead 4-2, grounding into a fielder's choice as Ichiro Suzuki and Jose Pirela scored on a throwing error by shortstop J.J. Hardy.
The RBI double was a jaw-dropping start to a memorable night at the Stadium even though the home team had been eliminated from playoff contention for the second straight year.
The Yankees played a video tribute, in which fans testified to Jeter's greatness in taped messages, before the game, and the sellout crowd braved 61-degree temperatures and at times rainy weather to cheer the 40-year-old Yankees captain's every appearance on the field. Some tickets went for $10,000 apiece.

Nick Laham for ESPNDerek Jeter opened his final game in the Bronx by helping the Yankees tie things up in the bottom of the first inning.
However, the night got off to a rocky start when, right in the middle of Jeter's final "roll call" from the Stadium crowd, the Orioles' Nick Markakis belted Kuroda's 1-2 pitch high into the right-field seats. Four pitches later, Alejandro De Aza followed with another solo home run, stunning the crowd into a dull murmur.
But after Gardner singled to start the bottom of the first inning, Jeter got a standing ovation that lasted nearly a minute. He repaid the crowd by lining Kevin Gausman's 3-1 pitch high off the left-field wall in front of the visitors' bullpen, missing a home run by about 3 feet but driving in Gardner for the Yankees' first run. Jeter then advanced to third on a wild pitch and scored on McCann's grounder that was booted by Johnson, a teammate of Jeter's for a brief time earlier this year, in short right field.
Sitting in a suite, Jeter's dad stood and cheered as the ball banged off the wall for the RBI double. The hit was No. 3,462 of Jeter's career, good for sixth on the career list.
The ball Jeter hit for the double was immediately taken out of play. Major League Baseball had five authenticators on hand as opposed to the usual two for a regular-season game.
In his second at-bat, Jeter grounded into a forceout to end the second inning, and he struck out swinging in his third at-bat.
Jeter did commit a throwing error on his first chance in the field, a grounder by Johnson that he fielded cleanly but threw wide to first, pulling Mark Teixeira off the bag. But he fielded his next two chances flawlessly, including starting a 6-4-3 double play to end the third inning.
Other than the video presentation, there were no special pregame festivities since the Yankees had given Jeter a day Sept. 7. But every Yankee came up to a Jeter walk-up song in their at-bats, and the entire game was a celebration of the future Hall of Famer.
Information from The Associated Press was used in this report.