Cole, who have made over 500 first team appearances, scored an impressive 229 goals in his 19-year career.
The 37-year-old decided to quit football after failing to land a first team spot at Championship side Nottingham Forest.
Cole said: “It’s not the ideal ending. It just wasn’t working out.
“I told them from the outset that I didn’t want to go there to sit on the bench because I didn’t want to be perceived as sitting back and making easy money.
“I wanted to go there and offer something.”
He added: “There’s always going to be the odd one, with me the way I am as a person, as a player.
“But I wouldn’t change a thing. I’ve lived the dream.”