I think you can find quotes such as the Diogenes of Oinonanda statement that talk about the importance of attitude, but why is attitude important? Why is virtue important? Because they bring pleasure, not as goals in themselves. So i'd push back strongly on this direction, and question why someone might think it "feels wrong" to think of him as a consequentialist if not for the psychological pressure of a culture built on virtue ethics.
The conclusion of the philosophy is that the consequence that Nature (not society) calls for is pleasure, not virtue or anything else. Diogenes of Oinoanda himself has one of the most eloquent statements of this in his passage about shouting that a life of happiness is a life of pleasure, and that virtue is but a tool to pleasure, not the other way around.