The fans' favourite will end a six-year association with the club following the Spireites' final League Two fixture of the campaign against Exeter at the Proact Stadium on April 27.
He told the club's official website: "I've loved it and I've had an amazing relationship with the fans. It's been really special and I'm sad to go."
When asked what message he had for the Chesterfield supporters, an emotional Lester said: "Just a thank you really, I know my family is really grateful for everything. My mum and dad come and they've loved coming here, just a massive thanks really.
"I think with their support I've played some of the best football of my career. I've had bad games here and they've stuck by me, so thanks for that."
Lester signed from Nottingham Forest in 2007 and has scored 83 goals in 194 league appearances for the Blues.
His goals helped fire the Spireites to the League Two title during the 2010/11 season and last term the 37-year-old was part of the squad that won the Johnstone's Paint Trophy at Wembley.
Chief executive Chris Turner had said in January that he was confident of sorting a new deal for Lester, who has struggled to secure a starting role in Paul Cook's team this campaign but still leads the scoring charts with nine goals in all competitions.
Cook said: "He is a proper club legend. There's not many of them about, but Jack certainly is one.
"What I'd like to do at the moment is let Jack get his messages out and be treated with the utmost respect, which he deserves.
"Jack has only just made the announcement so I'd like to show him a little bit of respect and let that be channelled properly before we pay our respects, and there will be plenty of them.
"I think when people go through football clubs like Jack Lester has gone through ours, they deserve all the plaudits and recognition that will come over the next month or so and I'll certainly be leading those choruses and echoing everyone else's sentiments."