R.E.M. bassist Mike Mills broke the news via Twitter from the set of the show, as the band is set to appear as Thursday's musical guest.
News of his upcoming retirement comes seven months after the television host extended his Late Show contract for two more years, though the end of 2015.
Letterman has hosted the CBS late night talk show for 20 years -- since August, 1993 -- following his 11-year run as the host of NBC's Late Night.
Celebrity Breakups and divorces of 2014 [PHOTOS]