On Thursday, Microsoft CEO Steve Ballmer spoke openly about how it feels like to be leaving the company.

"It's a little weird for me, to come to work and have it known," that he's leaving, he said during Microsoft's annual analyst meeting in Bellevue, Washington.

Three years ago he told the board that he "was thinking about the day I might not work at Microsoft."

The board then asked him to get to know "all of the top people at our competitors" to try and scout out people who might be his successor, he said. He did just that, and realized he liked the folks at his own office better.

"There is a lot of good talent out there but when I come home, I tell you, there is just an incredible group of talent at Microsoft that is competitive with everybody else in the industry, full stop, period," he said.

Ballmer is also trying to get used to the fact that soon, he'll be "just" an investor.

"After I retire I'm just a guy that owns 4 percent of Microsoft and that's about 65, 70 percent of what I've ever owned.

"I think I've sold five times in my life and bought once and I hold on and treasure my Microsoft stock. 70 percent of what I own is in Microsoft."

He is, however, not selling after he leaves, and he won't begrudge the new CEO.

"We'll bring in a new CEO and they'll have opinions and ideas and thoughts. And my greatest desire will be to see the company be so much more successful four or five years from now than it is today," he said.