It is totally unnecessary. I'm sure you thanked them for their hospitality at the time(s) they extended it to you. If/when someone breaks up with you, there is no need to say some formal "goodbye" to their family. The only circumstance where I can see this being acceptable is if you'd been married and your families really intertwined. Even then, questionable.
ETA: Even if you won't admit it, I'm pretty sure some small part of you would be doing it in hopes that they'd mention it to her and/or say something to make her second-guess her decision.