The 58-year-old has been in charge of the club since succeeding Paco Herrera in October 2015 and guided Los Amarillos to an 11th-place finish in La Liga last season.
Las Palmas have enjoyed another successful season this term, with Friday night's 1-0 victory over Villarreal seeing them once again sit comfortably in mid table.
However, Setien, who has been engaged in talks over a new contract with the club for a number of months, has now announced that he will leave Las Palmas at the end of the season.
“This morning, I announced my decision to end my relationship with Las Palmas at the end of the season," Setien said. "A conversation with the President, in which I was pressed to make a decision, urged me to bring it forward.
“Our differences have become irreconcilable and I think that prolonging this situation would’ve affected the team."
The former Spain international insists he will depart Estadio Gran Canaria with his head held high and will look back at his time with the club fondly.
“I’ll never forget that they took me out of unemployment 18 months ago," he added. "I’ll always remember these two seasons at Las Palmas, so I’ll be happy when they win and cry when they lose.”