What do you mean, historical evidence? It's what Suetonius says. But that's not what Suetonius says his last words were. Suetonius says that he said, in Greek:

εὶ δέ τι/Ἐπεὶ δὲ πάνυ καλῶς πέπαισται, δότε κρότον/Καὶ πάντες ἡμᾶς μετὰ χαρᾶς προπέμψατε.

But if he has since played the part well, everyone, give applause and send me off with delight

Suetonius does not say these are his last words though, he specifically says that Augustus' last words were addressed to Livia:

repente in osculis Liviae et in hac voce defecit: Livia, nostri coniugii memor vive, ac vale!

Suddenly while kissing Livia he passed on, saying in these words: "Livia, live mindful of our marriage, and farewell!"