"It's been a painful period and lately we have taken a bath in the ratings," the former "Britain's Got Talent" and "America's Got Talent" competition judge told the New York Times.
His "Piers Morgan Live" replaced "Larry King Live" in January 2011 after King's retirement.
Morgan told the Times CNN President Jeff Zucker made the decision to cancel the show.
"Look, I am a British guy debating American cultural issues, including guns, which has been very polarizing, and there is no doubt that there are many in the audience who are tired of me banging on about it," Morgan said.
"That's run its course and Jeff and I have been talking for some time about different ways of using me," he said.
"I think I can credibly do news and the ratings reflect that, but it is not really the show that I set out to do," Morgan told the Times.
"I'd like to do work -- interviews with big celebrities and powerful people -- that is better suited to what I do well and fit with what Jeff is trying to do with the network," he said.
Plans for a replacement at the 9 p.m. ET hour are not decided, the Times said.
A CNN official told the Hollywood Reporter the date of Morgan's final program was "still to be determined."