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.
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”.
New York City were beaten 7-0 on aggregate by Toronto FC in the MLS play-offs this month.
In an interview with Match of the Day presenter Gary Lineker in October, Lampard said he was keen to move into coaching.
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.”
Lampard left Chelsea in 2014 as the club’s record scorer with 211 goals.
He signed a deal with New York City in July 2014, before joining their sister club Manchester City on loan in August, a move which “outraged” New York City fans.
He scored eight goals during a loan spell that was extended to cover the 2014-15 season.
In May 2016, he was described as “the worst signing in MLS history” as injuries and his spell back in the Premier League restricted his appearances.
But he rediscovered his form for New York City, scoring 12 goals in 14 games, and the city celebrated “Frank Lampard Day” in September.
Former England team-mate and Liverpool midfielder Steven Gerrard could also be set to end his spell in the United States.
Gerrard, 36, is out of contract at MLS side LA Galaxy and has suggested he could go into coaching at former club Liverpool.
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