Pena, 37, spent 14 years in the major leagues, playing last for Texas in 2014. He hit 31 homers with 102 RBIs in 2008 with the Rays, who lost to Philadelphia in the World Series.
"The Rays, for me, were family ... still is," Pena said during a news conference at Tropicana Field before Tampa Bay played Baltimore. "A very special place. I will never forget those days."
Tampa Bay president of baseball operations Matt Silverman said Pena was a "key figure in the rebirth" of the franchise.
Pena currently is a TV analyst.