After a two-hour show that barely alluded to his last day, Gumbel presided over a final cooking segment with three chefs who made him braised ribs, mustard glazed salmon and wild mushroom duck risotto.
"This is not a right, it's not really a job," he said. "It's a privilege more than anything else."
He raised a glass of red wine to the camera as the final credits rolled.
Gumbel's last day in January 1997 after 15 years on NBC's top-rated "Today" was a two-hour tribute, with a musical performance by Prince and a visit from Muhammad Ali.
Gumbel's tenure on CBS' morning show lasted two and a half years. He helped make CBS competitive in the lucrative time slot, but "The Early Show" never rose from third place behind "Today" and ABC's "Good Morning America."
In an interview with Barbara Walters for ABC's "20/20" on Friday, Gumbel took responsibility for "The Early Show's" lack of success — but only to a point.
There were too many elements out of his control, he said.
"To try to come in and set up a burger chain between McDonald's and Burger King and make it a successful franchise in two and a half years, I think, was somewhat unrealistic," he said.
Gumbel's co-host, Jane Clayson, is remaining on the show. On the air Friday, she told him, "You have my respect and my gratitude."
Gumbel, 53, keeps his job as host of HBO's "Real Sports" but is leaving CBS. The golf fanatic told Walters that "you'll never see me working five days a week again."
A history buff, he said he'd be "thrilled" if the History Channel asked him to do something. He also takes pride in his cooking.
"I can see myself fiddling around with some things in that arena," he said.
CBS hasn't named a replacement. The network's apparent first choice, Meredith Vieira, parlayed that interest into a lucrative new deal to stay on ABC's "The View" and be host of the syndicated game show "Who Wants to Be a Millionaire."
"Hollywood Squares" host Tom Bergeron and Russ Mitchell, host of CBS' weekend morning news, are the first two subs lined up for Gumbel.
The chief "Early Show" executive since the program launched in November 1999, Steve Friedman, is leaving with Gumbel. Friedman is being replaced by another "Today" alum, Michael Bass.