Lees said his involvement with the team he supported as a youngster had been “an honour” and thanked Cellino and head coach David Hockaday for clearing the way for a move to Hillsborough.
The England Under-21 international signed a three-year deal with Wednesday this morning, quitting Leeds after more than a decade at Elland Road.
Lees first signed for United as an eight year old and progressed through their youth-team system before turning professional in 2009.
He made 135 appearances in the club’s senior side and was the longest-serving player in the current squad at Elland Road.
But his form dipped last season and with the centre-back unlikely to be used regularly this term, Leeds allowed him to depart for Sheffield.
Lees had failed to feature in either of their recent friendlies against Chesterfield and Swindon Town.
The 23-year-old told the YEP: “I’d just like to thank the president and the manager for the way they’ve dealt with me over the past few weeks, specifically in relation to this transfer.
“I’ve been at the club since I was eight and it was an honour to wear the shirt of the club I supported as a boy.
“However, I felt now was the right time to move on. I wish the club, the players and the fans all the best going forward.”
United said they had received an undisclosed fee for Lees, though Sheffield Wednesday manager Stuart Gray claimed last night that the defender was moving to Hillsborough on a free transfer.
Wednesday, however, have since confirmed that a fee was paid as part of the deal. The South Yorkshire club are understood to have met the cost of paying up the final two years of Lees’ contract at United.
Hockaday admitted that Lees’ desire for a “fresh start” had become apparent during discussions between the pair, saying: “It was very obvious to him and to me that it was the right time for him to move on.
“He feels like he needs a fresh start and his body language betrayed that to me at times. But he’s been good as gold and I genuinely wish him all the best.”
Lees watched Wednesday’s friendly at home to Newcastle United yesterday evening and speaking after the match, Wednesday boss Gray said: “The contract’s agreed, terms are agreed. He’s a fantastic player who we’re going to get on a free transfer and it’s just subject to a medical.
“He’s played a lot of games for Leeds and he’s a young man at 23, a footballing centre-half. He’s gone out and learned his trade, got a lot of loan games in, and he’ll give me competition at centre-back.”
Asked if a fresh start might do him good, Gray said: “I think so.
“You can be at a club maybe too long and he’s been there since he was eight. Whether he got a bit complacent or whatever, he needs to come out. He’ll enjoy the way we play.”
United planned to sign Chesterfield’s Liam Cooper as Lees’ replacement but their interest stalled after Chesterfield rejected an offer of £475,000.
Hockaday said: “Every player has his price and they want too much for him so we walked away from it. It’s dead.”