They are both correct, but they mean different things.
"Last year" = "el año pasado", but "the last year" = "el último año".
I haven't been to Montreal since last year = I went to Montreal during the year before this year.
I haven't been to Montreal since the last year that I lived in Canada = I used to live in Canada, and then I moved away from Canada. The last time that I visited Montreal was during the last year that I lived in Canada. Maybe that was two years ago, maybe that was 10 years ago, maybe that was 50 years ago. If I haven't told you before in which year I moved away from Canada, then you don't know exactly how many years it has been.