The 50-year-old, who has been linked with a return to Chelsea, won the league and Copa del Rey at Madrid.
"We've decided to bring our relationship to an end at the end of the current season," explained Perez. "The club and manager agree the timing is right to bring our relationship to an end. On behalf of the board of directors would like to thank Jose Mourinho for all his hard work. The team have improved in his three years and we wish him all the best."
Perez added that "nobody has been sacked" and says it is a mutual agreement between Mourinho and the club.
As to a replacement, he continued, "We have no pre-contract signed with any managerial candidate. It's something we'll have to look at in the coming days."