Sturrock was replaced by Phil Brown two weeks before the Johnstone's Paint Trophy final, but spent the day with the League Two club's supporters for the game.
He travelled to the national stadium on the supporters' coach before sharing a drink and sitting among them during the match.
Sturrock told Echo News: "Sunday was a superb experience and a day I will never forget.
"In all my years in football, it was like nothing I had ever experienced before.
"I'd just like to say a massive thank you to all of the Blues fans. I hope they all enjoyed the day as much as I did.
"It was the perfect way to bring my time with Southend to an end."