The 35-year-old did not play in any of Spain's four games at Euro 2016 with national team coach Vicente del Bosque picking Manchester United's David De Gea in goal.
Casillas, who made his debut in 2000 and is Spain's most capped player with 167 appearances, posted a video on his twitter account (@casillasworld) of a Rambo film with the dialogue saying: "I don't know where but I'm going."
"He then posted a message which said: "I'm proud to feel the love of the people today and as always, everyone together for the national team."
De Gea made a string of saves to keep Spain within striking distance of Italy on Monday before Antonio Conte's men got a late second goal for a 2-0 second-round win.
The goalkeeper also expressed hope for the future of the national team. He tweeted on @D_DeGea: "Losing is part of the sport as well as getting up after a defeat. We'll come back!"
(Writing by Adriana Garcia. Editing by Adrian Warner.)
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