The French midfielder, who spent last season on loan at Hertha Berlin, took to Instagram to announce the news with a lengthy statement.
In a now-deleted message that appeared on both Twitter and Instagram, he wrote: "Thank you Arsenal. Thanks for everything!
"I discovered and learned so much during my time here. It would be impossible to list everything without forgetting one memory or word… but I will never forget any minute spent with the Gunners jersey.
"I will never forget the Emirates Stadium. I will never forget the fans. I won't forget the city.
"I will never forget everything I've been through here. I will never forget that my only will was to defend with pride Arsenal colours.
"Thanks to all of those who believed in me during my time here, during the good and the bad moments. I can only wish the best to the club and its fans who deserve so much, trust me! Goodbye Arsenal, I will never forget you and will be a Gooner forever."
Just before his announcement on leaving Arsenal, Guendouzi said goodbye to his loan club Hertha Berlin.
"To new beginnings, he wrote. "A difficult day arrives, this one, the day to say goodbye to an entire institution for which I had the immense privilege and honor to play football and defend its blazon in an extraordinary championship made of professionalism and humility.
"I joined not only a club but a family, I've met amazing people who became friends for life. Many thanks to Michael Preetz, Bruno Labbadia, Arne Friedrich and Pal Dardai for making this possible.
"I'm leaving happy because I gave the best of myself and we've managed to stay in the Bundesliga.
"My thoughts also go to all the employees who work behind the scenes but work with dedication on behalf of the club's common good, without forgetting all the fans who are passionate about the club and have shown unwavering support.
"This experience has been a source of inspiration and I hope I have lived up to the confidence the club has given me.
The club helped me in difficult situations and encouraged me when I was at the top. I just wanted to work with respect, dedication and defend the club's values.
"I wish Hertha Berlin the best. I leave with a lot of emotions, that's why, with respect and affection, thank you and HaHoHe."
Guendouzi is expected to join Marseille after reportedly having a medical with the Ligue 1 club.
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