The station at Fife Ness has closed as part of UK Government measures that could see Scotland's coastguard cover reduce from seven to three.
It means coastguards in Aberdeen will take responsibility for responding to distress calls along the Firth of Forth.
Mr Lochhead said, "It's a sad day for Forth Coastguard as a chapter in history going back around 100 years is brought to an end.
"I pay tribute to those staff - past and present - who have worked tirelessly to provide a vital service to all those making a living from the sea.
"This further illustrates why control of the coastguard should be devolved to Scotland, so that we can be sure of having appropriate provisions to meet our needs."
Scotland will now be served by operations at four stations - Aberdeen, Shetland, Stornoway and Belfast.