The 26-year-old defender signed a four-year contract with the club.
In his appreciation message, the French international said that it was a huge honor to have been part of Chelsea's success.
He added that the stay at Stamford Bridge was full of emotions.
“It has been a huge honour to be part of the success of this amazing club! The journey has been full of emotions.. I’ll never be thankful enough @ChelseaFC see you soon!” he wrote on his social media platforms.
Earlier on, Zuma had hailed the Hammers' performance last season and he was optimistic that he could help them achieve good results going forward.
“With the great season that West Ham had last year, that gave the team a lot of confidence to improve this year – and I want to help the team do that.”
Zuma joined Chelsea from Saint-Etienne in 2014 for approximately £12 million.
Apart from being loaned to Saint-Etienne, he also had similar spells at Stoke City and Everton.
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