The 26-year-old will captain the Welsh region against Cardiff Blues this weekend as he bids farewell to Parc y Scarlets before moving to French side Clermont in the summer.
Another Welsh talisman in Jamie Roberts had to go through the same thing last season but couldn't stop the waterworks as he found the experience overwhelming.
But Davies insists he won't be following in Roberts' footsteps, although he admitted he doesn't know what to expect.
"I won't say I'm an emotional kind of guy, but I do have my moments," Davies told WalesOnline. "I always joked about not crying like Jamie [Roberts] so I can't do that.
"Maybe when it is all done, I will have a quiet moment to myself, reflect and be proud of what I have done here. I don't know how I will feel to be honest.
"Over the last couple of years you have seen boys who have left and go through all that stuff after the game.
"Now it is my turn. It will be nice to say goodbye but it will be tough."
The Scarlets will be looking for revenge on Saturday as they slumped to a 17-13 loss against the Blues in the RaboDirect PRO12 just two matches ago.
His side then secured a European spot with victory over Newport Gwent Dragons, but Davies wants to ensure the season and his time with Scarlets draws to a close on a positive note.
"It will be tough because the Blues are going well and have won their last four," he added.
"But we want to make sure we sign off the season with a good win. Whatever happens after that happens."
Follow us on Facebook, join the conversation on Twitter, sign up to our YouTube channel for extensive match highlights and sign up for our newsletter for regular updates on the RaboDirect PRO12
Guinness PRO12
Suite 208, Alexandra House,
The Sweepstakes
Ballsbridge, Dublin 4, Ireland