The 49-year-old only took control of the Essex club in December, but failed to lead the U's to a League One victory until March and only managed five victories in 24 games.
Saturday's 3-0 defeat at home to Burton confirmed Colchester's relegation to League Two, and Keen has decided to stand down from his position with 44 games on the board.
"After a meeting with the owner, Robbie Cowling, over the future direction of the club, Kevin Keen has decided to leave. Kevin has worked tirelessly to try and turn around the fortunes of the club this season," read a statement on Colchester's official website.
Assistant manager David Wright will lead the first team for the final two games of the season.