The 32-year-old, linked with a move across town to Arsenal, posted a farewell letter to the club's fans on Twitter.
"The time has now come to move on. I am certainly going to miss my team mates," he said. "I leave with my head held high, safe in the knowledge that I won things here and always did my best in a Chelsea shirt!"
Willian, who began his career with Corinthians in Sao Paulo, joined Chelsea from Anzhi Makhachkala in 2013 and made over 300 appearances for the club, winning two Premier League titles.