He told the crowd that they were "making India proud" by working hard.
Mr Modi's two-day trip to the UAE was the first by an Indian premier in 34 years.
More than 2.5 million Indians - comprising a third of UAE's population - live in the federation.
Half of them are migrant workers, holding construction jobs.
Reports say some 40,000 people filled the stadium in Dubai on Monday evening to listen to Mr Modi, who spoke in Hindi.  Thousands of others watched on giant screens outside the stadium.
"You are the people who have worked hard... some for 10 years, some for 20 years and some for 30 years. You are not only earning your living, but also making India proud," Mr Modi told the crowd.
"Even if it rains a little more in India, then the Indian living in Dubai, opens his umbrella. In times of natural disaster, the Indian in Dubai can't sleep properly," he said.
Mr Modi visited a labour camp in Abu Dhabi where 50,000 migrant workers live, around 40% of them Indians, reported Associated Press.
He briefly met a few hundred Indian workers at the camp, shaking hands and listening to their struggles and requests, the report added.
During his visit, he also met Dubai's ruler Sheikh Mohammed bin Rashid al-Maktoum, and Sheikh Mohammed bin Zayed al-Nahyan, crown prince of Abu Dhabi.
Mr Modi told a meeting with prominent business leaders that India had an "immediate investment opportunity of $1tn (Â£640bn)".
Indian PM Narendra Modi received a rousing welcome from tens of thousands of Indian expatriates at a cricket stadium in Dubai, on the concluding day of a visit to boost economic ties.