"Over the past six months, it has become increasingly clear that strong winds of change have begun buffeting this country and affecting all of us," Dobbs told viewers Wednesday in a statement read live on his 7 p.m. EST show.
Dobbs said he had arranged with CNN President Jonathan Klein to be released from his contract. He said he had no immediate future plans.
"At this point I'm considering a number of options and directions and I assure you I will let you know when I set my course." Dobbs said.
Dobbs' contract was set to run through the end of 2011, The New York Times reported.
There has been speculation he might join Fox Business Channel but a spokesman for Fox told the Times Wednesday the company has not "had any discussions with Lou Dobbs for Fox News or Fox Business."
Dobbs, 64, was part of CNN's original lineup. He left the news channel for two years to work for the Web site Space.com.
He is the host of syndicated radio talk show, which he has used as a forum to discuss whether President Barack Obama is a U.S. citizen.