The 17-year-old posted the message on Twitter and linked to a tweet that called him an "overrated talent" and said "black people only think about money."
The tweet with the racist abuse was later deleted but Bellingham reposted a screenshot of it.
Bellingham played his last game for Birmingham City on Wednesday and was visibly emotional after the game.
"Whatever happens I am always a blue," he told the club's TV channel.
"This is my club and I love this club to bits. I hope I showed that in the performances while I was here.
"I hope I was fun to watch, I hope I was fun to interact with because I wanted to bridge the gap between the players and the fans. I'll only look back on Birmingham City with love and fond memories."
Birmingham City announced on Thursday they were retiring Bellingham's No. 22 jersey.
"In such a remarkably short space of time Jude has become an iconic figure at Blues, showing what can be achieved through talent, hard work and dedication," a statement from the club said.
"His caring, humble and engaging off-the-field demeanour has also made him such an impressive role model.
"The 22 shirt has become synonymous with Jude, his rise to the first team aged just 16 years and 38 days and these qualities.
"And as such the Club have decided it would be fitting to retire this number, to remember one of our own and to inspire others."