The Wales international penned a five-year deal at White Hart Lane on Wednesday, joining team-mate Michel Vorm in switching to the London club, with Gylfi Sigurdsson moving in the opposite direction.
Davies, who joined Swansea as an eight-year-old, signed professional terms with the club in 2011 and went on to make 71 Premier League appearances, while he was also part of the side that won the League Cup in 2013.
The 21-year-old said that the opportunity to join Mauricio Pochettino's men was too good to turn down, but took the time to send a message of gratitude to the Swansea faithful.
"I had never thought or wanted to leave Swansea, but an opportunity like this doesn't come up often in your career," Davies, who was part of the Welsh side's recent tour to the United States, told Swansea's official website.
"I will always be grateful for what Swansea City has done for me and it will always be the club in my heart.
"Having been at the club since the age of eight, I had to think long and hard about leaving because I owe everything to the staff and the club in general.
"The fans have been brilliant with me. It's quite ironic really that it was on our last American tour two years ago that I was first introduced into the first team.
"Then, when Neil Taylor had his bad injury soon after, I found myself a regular in the team.
"It was a massive step for me and it wasn't easy. But the supporters were right behind me from the very start. They believed in me and gave me the backing I probably needed as a young player at the time.
"I'd like to thank them all personally, but obviously that's not possible. Like I said, I'll always be grateful, but I also hope they feel I have given something back to them over the last two years.
"I'll be back to watch the boys when I can from the stand. It was sad saying my goodbyes because they've been great with me from the first day I joined the squad. But in the end it was an opportunity I couldn't turn down."
