The 51-year-old, who is the second longest-serving boss in the Football League, believes that the club are in need of "fresh ideas" in order to reach their long-term aims.
"After almost six seasons I personally feel the time is right for a new challenge, and also for a new manager to come into Millwall with fresh ideas, to take the club forward towards its long-term goal of reaching the Premier League," Jackett told the club's official website.
"I would like to thank the chairman, the board of directors, players, members of staff and supporters of Millwall for their considerable backing. I have thoroughly enjoyed my time at Millwall. My family and I will always have a strong link and affinity with the club."
Chairman John Berylson added: "On behalf of the Board of Millwall Football Club, I want to express my thanks to Kenny for his fantastic service and achievements over the past five-and-a-half years. He has played a major role in creating a stable environment at Millwall which hadn't been the case prior to his arrival.
"On a personal level, whilst respecting Kenny's decision, I wish I could have persuaded him to change his mind. He was my first acquisition as chairman of the club and has proved himself to be one of the best. I am losing a great manager, but he will remain a good friend and hopefully, golf partner."
Jackett's decision comes after securing Championship survival for the club by two points.