score:5
You don't really need to notify immigration, but unless you stopped by the CBP office at the US-Canadian border to have the exit recorded, it's likely the exit wasn't recorded (on the other hand, it is not uncommon for the Canadians to pass on the information to the US).
As such, there is a small chance that the next time you try to enter they'll want you to show that you didn't overstay the previous time. You can check whether they already recorded your exit at https://i94.cbp.dhs.gov.
If your exit wasn't recorded, you can wait until you reenter and show evidence of your departure if you're challenged, or you can send that evidence (train/bus/air tickets, passport stamps, receipts/bank statements from foreign countries etc.) to:
Coleman Data Solutions
3043 Sanitarium Road, Suite 2
Akron, OHΒ 44312
United States
Attn: NIDPS (I-94)