Romo said he'd received hundreds of messages and phone calls since announcing his retirement.
"I feel like I left something out there that I always wanted to accomplish," said Romo, a four-time Pro Bowler who is the Cowboys' all-time leader with 34,183 passing yards and 248 touchdowns, but never managed to take the team to a Super Bowl crown.
"And I've got to live with that," he added. "That's part of playing sports. It doesn't always go the way you expect. You can put everything into it and sometimes it works out and sometimes it doesn't."
Romo said he'd received hundreds of messages and phone calls since announcing his retirement and move into the broadcast booth as an announcer for the CBS network.
"It's been overwhelming," he said.
As he reflected on his transition from the league, Romo was speaking not at a Cowboys-organized farewell news conference, but at the American Airlines Center arena of the NBA's Dallas Mavericks, where he was suiting up Tuesday as a Maverick for a day in recognition of the regard in which he is held in Dallas.
"Standing here today I feel a little bit embarrassed, to be honest," said Romo, who was a standout basketball player in high school.
"Just in the sense that you're lucky enough to be in a position that someone cares enough to do something to honor you. I'm a lucky guy."
The sellout crowd at the Mavericks' game against the Denver Nuggets -- a battle of two teams eliminated from NBA playoff contention -- was delighted to have a chance to cheer Romo.
He went through pre-game warm-ups with the Mavs and was introduced with the team before the game.
The crowd roared in the fourth quarter as Romo stood in the final minutes as if he might enter the game.
But Mavericks owner Mark Cuban tugged him back to his seat. The gridiron star didn't, in fact, sign a contract with the Mavericks.
But he enjoyed the send-off from the Dallas sports world, even if the Nuggets crashed the party with a 109-91 victory.
"Just to be a part of it in there with them is a unique experience that not very many people have even got to do," Romo said. "I feel lucky."
Cowboys coach Jason Garrett, running back Ezekiel Elliott and tight end Jason Witten were among those in attendance, along with other coaches and members of the team's front office.
"He has stood for all the things that great Dallas athletes stand for," Mavericks coach Rick Carlisle said of Romo. "He's a great competitor, winner and plays hurt, the whole thing."