Bachelet addressed delegates at the closing session of the U.N. Conference on the Status of Women, Foreign Policy reported.
"This will be my last CSW," she said. "I'm going back to my country."
Bachelet is believed to be considering another run for the presidency.
The U.S. ambassador to the United Nations, Susan Rice, used undiplomatic language in a tweet, calling Bachelet's departure "a major bummer."
"She is awesome and helped save #CSW 2013," Rice added.
Secretary General Ban Ki-moon said Bachelet helped win major advances for women and promised she "will always have a home at the United Nations."
Bachelet, a doctor, became Chile's first female president in 2006 after serving as defense and health minister. She was barred by the constitution from seeking another term in 2010.