The Italian took the reins midway through the 2013-14 season and had one year left on his contract.
Reja said in a club statement: "It's right that Lazio makes a coaching change. I consider my experience here to have ended.
"The (club) president (Claudio Lotito) had given me his support but I told him that it was over, that my cycle here had finished."
The 68-year-old Reja was in his second spell with Lazio, having coached them between 2010 and 2012.
Lazio finished ninth in Serie A and failed to qualify for European football next season.
Stefano Pioli, who was unable to help Bologna defend their Serie A status last campaign, has been strongly linked with the vacancy created by Reja's departure.