The 33-year-old has not been able to broker a new deal with the Blues and as such looks set to leave Stamford Bridge to begin “another journey” in his life.
“I am weighing up my options for playing next season with my agent and sadly it does not look like chelsea will be one of them,” Cole wrote on Twitter.
“Thank u Chelsea FC for making my 8 years there a pleasure to work all the staff and players, we’ve been through a lot, good and bad.
“And of course the fans, how do I start, I can only say thank u for giving the boys confidence to win some amazing trophies, and once again.
“And this tweet is to the FANS that have stood buy me through thick and thin, I will always have u in my hearts, #cfcfans.
“And now I’ll be looking for another journey in my life hope it can be like my others full of fun and of course WIN something.”
Cole spent most of the recently-completed season relegated to the replacements, with Jose Mourinho preferring to utilize Cesar Azpilicueta at left-back.
The defender’s decision comes on the back of his retirement from England duty last month after he was not selected for the upcoming World Cup in Brazil.
Cole has been linked with a number of suitors, ranging from Real Madrid to a host of MLS clubs.