Westbrook took the microphone as fans began chanting their love and support for the former MVP. Westbrook and four future draft picks were traded to the Rockets in exchange for veteran point guard Chris Paul.
"To get you guys to come out to this show means a lot," Westbrook told the crowd.
Westbrook later met with fans in the crowd and posed for pictures and videos.
Westbrook averaged 22.9 points, 11.1 rebounds and 10.7 assists in 73 games last season. The eight-time All-Star has averaged a triple-double for three straight seasons.
The 30-year-old has played his entire career for the Thunder. He was the No. 4 overall pick in 2008 -- and the Thunder's first draft pick after moving from Seattle -- and reached the 2012 NBA Finals with the Thunder.
Westbrook has averaged 23.0 points, 7.0 rebounds and 8.4 assists in 821 career games.