Alex spent eight years at the club and is a cult hero among Fenerbahce fans, with the club erecting a statue of the Brazilian less than a month ago.
The 35-year-old took to Twitter to confirm that he was no longer with the Turkish giants.
He tweeted: "My contract has been annulled. Seeing it torn apart was the most difficult experience of my life.
"Fenerbahce lost a player but have won a fan."
Alex won three league titles with Fenerbahce and scored 137 goals in more than 200 appearances.
The veteran playmaker has also won 59 caps with the Brazilian national team during an impressive career.