MailChimp provides some tips for your unsubscribe confirmation emails:

1. Make it short and sweet. You don’t want this to look like yet another HTML email newsletter. If the recipient just unsubscribed from your list, they’ll be furious to receive even more "salesy" emails from you.
2. Consider a plain-text email, or an HTML email that’s "lite" and looks like plain-text. Minimal graphics.
3. Try to include a link to a feedback survey. Keep the feedback survey brief. All you really need to ask is, "why are you leaving?" By the way, if you don’t have a good survey tool, look into Surveymonkey.com
4. Include a link to re-subscribe to your list, just in case it was a mistake.
5. Got a blog/website they can bookmark instead? Sometimes, people get inbox fatigue, and just want out. Let them visit your website instead. Who knows, they might opt-in again later.