Michael Phelps -- Yeah, I Went Clubbing with My GOLD MEDALS!!

Michael Phelps took three of his closest friends out clubbing in London this weekend -- gold medal, gold medal and gold medal.

Just hours after swimming the last race of his career, Phelps -- the greatest Olympian in the history of the Olympics -- hit the party scene in Soho ... along with 3 of his 18 gold medals ... and a mystery blonde.

Phelps and his medals partied responsibly ... after they partied themselves out, they all piled into the backseat of a waiting SUV and got a ride home.