The 34-year-old former Real Madrid and Spain striker has been at the Gelsenkirchen club for two seasons, scoring 27 Bundesliga goals in 63 matches.
"He will explain his reasons for the move...and his plans for the future in due course," the club said in a statement.
German media reported that Raul could continue his career in Qatar. "My future lies outside Europe in a league that is not so strong in playing terms as the Bundesliga," the player told reporters.
"It was not an easy decision to make. I have had two wonderful years and will always have a place for Schalke in my heart."
There is unlikely to be a tweet out of the Spain players at the World Cup after coach Vicente del Bosque banned them from using social networking sites such as Twitter and Facebook
A thunderous roar erupted across the Spanish capital and fans danced in the streets chanting "Viva Espana!" as the country's first ever World Cup trophy sparked a nationwide fiesta