Walker, 79, announced earlier in October he was hanging up his headphones due to ill health. He had been diagnosed with idiopathic pulmonary fibrosis, a severe respiratory illness that can make breathing very difficult. Due to his illness, he has regularly broadcast from his home in Dorset over the years.
Walker left half a century of broadcasting with some critical thoughts on the industry. "It always used to be, you learned your radio craft," he said. "A lot of people started off on local stations and gradually sort of worked their way up. And I think nowadays it seems to be the way to get radio shows is to get a television one first.
"Because you're good on TV doesn't automatically mean you're going to be good on the radio, but that's the way it is. We're in the age of celebrity."
Walker, originally from Birmingham, began his career in pirate radio, broadcasting on the notorious offshore Radio Caroline. He left when the station closed for BBC Radio 1 in 1969, where he remained until 1976 when he left for a job in San Francisco with Radio Luxembourg.
In the 1980s, he returned to the BBC and has remained there ever since.
Speaking to Radio 4's Today programme, Walker said he was sad to say goodbye to his audience: "Over the years, we've done an awful lot of living together, and so, you know, we've been through a lot of experiences, so we've developed a very close bond.
"Really, I get cards from people saying, 'You're the friend I've never met' and things like that. So it will be sad to say goodbye."
Related: Veteran DJ Johnnie Walker to retire from radio after 58 years
Sounds of the 70s usually plays listeners' requests, but for his final show, he said: "I'm going to choose all the music. So basically, I'm putting in all my favourites for the last one."
Walker already signed off on Friday's last episode of The Rock Show, playing some of his favourite rock'n'roll tracks. He encouraged listeners to tune in to Shaun Keaveny, who will take over The Rock Show from 1 November. He added that his producer had done a "magnificent job" and said "thank you" to her.
Walker said: "I always say at the end of the show thanks to Liz 'Queen of Rock' Barnes. She is the Queen of Rock, and she has put in so much work, putting this rock show together, crafting it beautifully, and mixing up old songs and new songs and I know you've appreciated the old and the new together."
His final episode hosting Sounds of the 70s will air on Sunday.