The ex-England captain and BBC’s Match of the Day frontman has presented the channel’s coverage for six years but is quitting despite being offered a new deal to stay on.
His final match will be Saturday’s all-English Champions League final between Chelsea and Manchester City.
“I would like to thank BT Sport for the generous renewal offer but, after much thought, I have decided to call it a day,” Lineker wrote on Twitter.
“I feel it’s time to do things that I’ve always promised myself I’d do: such as follow Leicester across Europe with my sons (how many opportunities will we have?).”
Leicester are due to play in the Europa League again next season after finishing fifth in the Premier League for the second successive year.
The Foxes reached the last 32 of the 2020/21 competition before being knocked out by Slavia Prague.
A tweet from BT Sport said: “Thanks so much for everything, Gary! A legend of the game, and a legend of broadcasting. We’ll miss you, enjoy your away days!”
Lineker, who turned 60 in November, is among the BBC’s highest-paid presenters.
It was announced in September 2020 that he had signed a new five-year contract with the broadcaster, with a 23 per cent pay cut – from £1.75 million to around £1.35 million.
He has four sons with his first wife Michelle Cockayne.