Look at it from the point of view of the players individually, then ask yourself whether you would be saying thanks?
Westwood; I would imagine he'll get a warm reception should he ever come back to the Ricoh in opposition. But, although he was a great keeper for us, he still had a few who couldn't wait to get on his back once it became apparent he wasn't going to sign a new contract.
Gunarsson; similarly to Westwood, he was hero worshipped during his 1st season, but once his 2nd and 3rd weren't quite up to the same standards, some of the fans turned and didn't need much excuse to get on his back.
King is a different case altogether. There was quite rightly some opposition to his signing, but I think he won most people round with his performance on the field. But unlike the other two he really is in a no win situation. If he says nothing he'll be slated, and if he offered some thanks he'll be slated and accused of being patronising and condescending. Damned if he does, damned if he don't.
Westwood and Gunarsson have probably thought it best to say nothing due to having a minority of fans turn on them before. Once again, a minority of big mouths who want to get themselves noticed, ruining it for the silent majority.