The 38-year-old, whose contract expires at the end of the year, wrote on Instagram that his time at the club had "come to an end".
He said he will reveal "the next stage" of his career "very soon".
Lampard scored 15 goals in 31 appearances for New York, in a two-year spell that was interrupted by a loan spell at Manchester City.
Lampard said: "I have very much enjoyed my time, and I am very grateful to have had the opportunity to play for such a great club and in such an incredible city.
"I leave with many great memories."
Head coach Patrick Vieira said: "Everybody talks about Frank's goal-scoring record from midfield but I can tell you after a year of working with him, he brings so much more to a team than just goals.
"What Frank has brought to the locker room is something just as important - his experience, his elite mentality and his mentorship for the younger members of our squad have helped us greatly this year."
Sporting director Claudio Reyna said: "From the second he walked through the door, he's set the example.
"Frank will always be part of the history of this club and we thank him for playing an important role in so many special moments in our young history."