Entire theological treatises have probably been written on the last words of Christ, uttered as he was dying on the cross. Crucifixion causes asphyia, which makes inhaling air to speak difficult. Thus, it is not surprising that the words actually uttered were short.
Matthew 27:46 records that Jesus said, "My God, my God, why have you forsaken me?" In the gospels of Matthew and Mark, Jesus is quoted in Aramaic, shouting this phrase only and then cries out wordlessly before dying. Is this not a surprising utterance, coming from one who proclaimed to be "one with the Father?" Is this not proof that Jesus felt forsaken and abandoned by God?
It may help if one considers that what Jesus is doing is, in fact, reciting scripture to himself. He is quoting PSALM 22:
1 My God, my God, why have you forsaken me?
Why are you so far from saving me,
so far from my cries of anguish?
2 My God, I cry out by day, but you do not answer,
by night, but I find no rest.
3 Yet you are enthroned as the Holy One;
you are the one Israel praises.
4 In you our ancestors put their trust;
they trusted and you delivered them.
5 To you they cried out and were saved;
in you they trusted and were not put to shame.
6 But I am a worm and not a man,
scorned by everyone, despised by the people.
7 All who see me mock me;
they hurl insults, shaking their heads.
8 “He trusts in the Lord,” they say,
“let the Lord rescue him.
Let him deliver him,
since he delights in him.”
9 Yet you brought me out of the womb;
you made me trust in you, even at my mother’s breast.
10 From birth I was cast on you;
from my mother’s womb you have been my God.
11 Do not be far from me,
for trouble is near
and there is no one to help.
12 Many bulls surround me;
strong bulls of Bashan encircle me.
13 Roaring lions that tear their prey
open their mouths wide against me.
14 I am poured out like water,
and all my bones are out of joint.
My heart has turned to wax;
it has melted within me.
15 My mouth is dried up like a potsherd,
and my tongue sticks to the roof of my mouth;
you lay me in the dust of death.
16 Dogs surround me,
a pack of villains encircles me;
they pierce my hands and my feet.
17 All my bones are on display;
people stare and gloat over me.
18 They divide my clothes among them
and cast lots for my garment.
19 But you, Lord, do not be far from me.
You are my strength; come quickly to help me.
20 Deliver me from the sword,
my precious life from the power of the dogs.
21 Rescue me from the mouth of the lions;
save me from the horns of the wild oxen.
22 I will declare your name to my people;
in the assembly I will praise you.
23 You who fear the Lord, praise him!
All you descendants of Jacob, honor him!
Revere him, all you descendants of Israel!
24 For he has not despised or scorned
the suffering of the afflicted one;
he has not hidden his face from him
but has listened to his cry for help.
25 From you comes the theme of my praise in the great assembly;
before those who fear you I will fulfill my vows.
26 The poor will eat and be satisfied;
those who seek the Lord will praise him—
may your hearts live forever!
27 All the ends of the earth
will remember and turn to the Lord,
and all the families of the nations
will bow down before him,
28 for dominion belongs to the Lord
and he rules over the nations.
29 All the rich of the earth will feast and worship;
all who go down to the dust will kneel before him—
those who cannot keep themselves alive.
30 Posterity will serve him;
future generations will be told about the Lord.
31 They will proclaim his righteousness,
declaring to a people yet unborn:
He has done it!