The 34-year old goalkeeper will head to Elland Road to reunite with former R's boss Neil Warnock after signing a three-year deal.
Kenny admits it will be tough to leave Loftus Road but is looking forward to a new challenge in the Championship.
"I've loved every single minute of my time at QPR," Kenny told QPR's official website.
"It's been an incredible two years. Winning promotion to the Premier League here is an experience that I'll never forget - as was the rollercoaster ride of avoiding relegation last season.
"Everything is now in place for QPR to kick on and become an established Premier League club - and I really do hope that will eventually be the case. Hopefully I'll be back at Loftus Road as a Premier League player with Leeds United in the very near future."