Jesus Himself did not specifically say He was "the last one"
I think these parables makes it clear that God sent His Son as the final messenger. In addition, Mat 11:11 indicates that perhaps John the Baptist was the final earthly prophet alluded to in these parables prior to the coming of the Messiah.
Mat 21:33 "Hear another parable: There was a certain landowner who planted a vineyard and set a hedge around it, dug a winepress in it and built a tower. And he leased it to vinedressers and went into a far country.
34 "Now when vintage-time drew near, he sent his servants to the vinedressers, that they might receive its fruit.
35 "And the vinedressers took his servants, beat one, killed one, and stoned another.
36 "Again he sent other servants, more than the first, and they did likewise to them.
37 "Then last of all he sent his son to them, saying, 'They will respect my son.'
38 "But when the vinedressers saw the son, they said among themselves, 'This is the heir. Come, let us kill him and seize his inheritance.'
39 "So they took him and cast him out of the vineyard and killed him.
40 "Therefore, when the owner of the vineyard comes, what will he do to those vinedressers?"
41 They said to Him, "He will destroy those wicked men miserably, and lease his vineyard to other vinedressers who will render to him the fruits in their seasons."
Mk 12:6 "Therefore still having one son, his beloved,
he also sent him to them last, saying, 'They will respect my son.'
Mat 11:11 "Assuredly, I say to you, among those born of women there has not risen one greater than John the Baptist; but he who is least in the kingdom of heaven is greater than he.
12 "And from the days of John the Baptist until now the kingdom of heaven suffers violence, and the violent take it by force.
13 "For all the prophets and the law prophesied until John.