He was given a guard of honour at the Raj Bhawan and later left for Delhi in the state plane, a release here said.
Speaker Meghwal, members of cabinet and senior officers bid him adieu, and Naik expressed his gratitude to the people of the state.
On reaching Delhi, Naik congratulated veteran politician Kalyan Singh, who has been appointed as the Rajasthan Governor.
Naik was given the additional charge of the Rajasthan after Margaret Alva completed her term on August 5.