The French midfielder, 28, signed for the Saddlers from Luton last summer but has struggled to earn a regular starting position in Dean Smith's side.
Manager Smith told the League One club's official website: "We've come to a mutual agreement with Claude.
"He was frustrated at not getting as many starts as he would have liked here. Sometimes things don't work out in football and it is best to move on elsewhere."
Gnakpa arrived in England in 2007 when he signed for Swindon following spells in France, Spain and Liechtenstein.
He scored twice in 26 appearances during his time at the Banks's Stadium, including an injury-time equaliser on Boxing Day as the Saddlers beat Sheffield Wednesday 2-1 with two late goals.