Yes, that is a correct sentence. Maybe it's a little more common say "The last time I was there was a few weeks ago". It means he was there a few weeks ago, but has not been back there since.

Erik is absolutely correct. I would only expand on the notion that the wording is slightly formal. I would only expect to hear it in response to the specific question "When was the last time you were there?". Otherwise you might sound like a British documentary film maker.