Yes he did. but here is the note he left:
No More Games. No More Bombs. No More Walking. No More Fun. No More Swimming. 67. That is 17 years past 50. 17 more than I needed or wanted. Boring. I am always #$%*y. No Fun — for anybody. 67. You are getting Greedy. Act your old age. Relax — This won't hurt"
He even wrote that note well!
He did go out with a bang twice:
On 20 August 2005, in a private ceremony, Thompson's ashes were fired from a cannon atop a 153-foot (47 m) tower of his own design (in the shape of a double-thumbed fist clutching a peyote button) to the tune of Bob Dylan's "Mr. Tambourine Man", known to be the song most respected by the late writer. Red, white, blue, and green fireworks were launched along with his ashes. As the city of Aspen would not allow the cannon to remain for more than a month, the cannon has been dismantled and put into storage until a suitable permanent location can be found. According to widow Anita Thompson, the actor Johnny Depp, a close friend of Thompson, financed the funeral. Depp told the Associated Press, "All I'm doing is trying to make sure his last wish comes true. I just want to send my pal out the way he wants to go out."