The ex-England hooker has been at the helm of the Premiership outfit since 2010 after moving up to the role from the coaching staff, which he joined 12 years ago.
Cockerill has revealed that it was the board's decision to let him go, suggesting that he wanted to stay with the Tigers.
"It is with great sadness and regret that I leave my position as director of rugby with immediate effect," the 46-year-old said in a statement via the club's official website. "I still believe that I am the right person to lead the team at this present time but respect the Board's decision to make change as they see fit in the best interests of the club.
"I arrived back at the club in 2004 as an academy coach and leave as DOR with a record that speaks for itself and stands up against any in club rugby in the world. This club has made me the person and the coach I am today and I will never forget what they have done for me."
Cockerill helped guide the team to the Premiership final in 2011 and 2012, and oversaw a record 10th league title triumph in May 2013.
Chairman Peter Tom added: "We thank Richard for his loyal and dedicated service as a player, coach and director of rugby. He has a great passion for the club and for the game of rugby, and has shared in many massive occasions with the Tigers.
"The club always has aspirations to contest the major honours in the game and that remains unchanged but the board believes this is the right time to make a change."
Head coach Aaron Mauger will be in interim charge of team affairs and the board will "conduct a review of the coaching structure to determine an appropriate way forward".
The Tigers are currently fifth in the league table.