It is uncertain whether the 35-year-old will carry on playing, but he is thought to be interesting Everton manager Roberto Martinez now he is a free agent.
Albelda didn't feature in new Valencia boss Mirolslav Dukic's plans, so decided the time was right to move on.
"I would like to thank Valencia for the marvellous years I have had and wish them all the best for the future," Albelda wrote on his Twitter account.
"I also want to thank all supporters who showed me such great support throughout my career. Amunt Valencia!"
The club were also quick to thank the midfield for his loyalty to the club, and wished him all the best for the future.
"After 574 games, 42502 minutes on the pitch and 15 seasons, David Albelda's time at Valencia has come to a close," a club statement read.
"The club legend will not be renewing his deal with the club, leaving behind a glittering career in black and white."