After 176 games since his debut in 2004, he announced his retirement on Tuesday.
Melbourne has begun discussions with Davey about a possible off-field role with the football club in 2014, however, he said he is keeping his options open on what he does next season until he has a chance "to clear his head".
He has not ruled out playing on at some level, but he said he felt a bit of pressure lift from his shoulders when the decision was made on Monday.
He also said at this moment his mind and body was telling him he should not play on, but he would weigh up all his options before making a commitment.
An emotional Davey thanked the club, his manager Alex McDonald and, most importantly, his family; wife Anna and five children. He also said he hoped he had made his mother proud.
He said he had been treated with respect in the past 10 weeks and had open discussions with the football department about where his career was headed.
"What I wanted was to be respected and that is how I was over the last 10 weeks," Davey said. "My head is in the clouds at the moment. I think it will hit home in the couple of weeks when all my family come down, but I am just going to enjoy it for what it is and spend more time with my family and freshen up mentally."
The small forward began his career at the Demons in 2004 after being put on the club's rookie list, and has kicked 174 goals in a career that often electrified crowds.
He won a club best and fairest and at his peak was one of the game's elite players.
From Palmerston in the Northern Territory, Davey was also a leader at the club and highly respected for his work with indigenous players.
He electrified the competition soon after his debut with his ability as a small forward to chase down defenders and kick goals.
He kicked more than 20 goals in each of his first four seasons and was third in the club best and fairest in just his second year.
He played in four finals with the club and defined the small forward role now common at every strong AFL club.
Melbourne coach Neil Craig said Davey would be regarded as a special player in the history of the football club and he had been a great role model, particularly for Indigenous people.
"[His career] will go a long way to encouraging a lot of people to play the game," Davey said.
He said that when he was coaching Adelaide he would always put Andrew McLeod (a Crows champion) on Davey and enjoyed watching their talent go head to head.
"There was a reason for that: it's called talent on talent," Craig said.
Davey won the 'Bluey' Truscott Trophy for Melbourne's best and fairest in 2009, playing behind the ball and through the midfield under coach Dean Bailey.
His penetrating left-foot kick was damaging and set up many attacking forays. In 2010, he gained 10 Brownlow votes.
Former Melbourne captain David Neitz told AFL.com.au that Davey pioneered the role of the small forward who would chase defenders down, tackle and put pressure on the opposition.
"Not too many players have changed the game like Aaron Davey has," Neitz said.
"There was a lot of talk about forward pressure all the way through but there were not many players who applied themselves like Aaron Davey did to the task. He certainly set new benchmarks for everyone in the competition."
Davey said he only had positive things to say about the future of the football club and that Melbourne had enough talent on the list to rise back up the ladder.
"[If] you don't have confidence you are unable to play to the best of your ability. It is going to be good times," Davey said.
Davey has had a frustrating run with injury in the past two seasons and played just 26 games. He has spent the last two games as a substitute and earned praise from interim coach Neil Craig post-game on Sunday.
"His input on the bench as a senior player has been exceptional so he plays a big role there," Craig said.
"Aaron is really comfortable doing it, for all the right reasons. When he's on the bench he's actually contributing from a coaching point of view with his teammates and when he comes on he contributes as well."