The Dutchman spent eight years with the team, winning the Giro d'Italia in 2017 and finishing second at the Giro in 2018 and as runner-up at the Tour de France the same year.
"It really does hurt to leave," Dumoulin said in a statement. "My heart is here and together we have achieved great things that I'm very proud of. I've proven with Team Sunweb that winning a Grand Tour is possible with this team and I have no doubt that I could do it again with them.
"I know that the grass will not always be greener than at Team Sunweb and I want to emphasise that, without them, I could never have got to where I am today," he continued. "I will always remain grateful for the opportunities that I have had, and the opportunity that the team now grants me to allow me to explore my options within a new team."
Team Sunweb CEO Iwan Spekenbrink said that the WorldTour squad was proud of everything that they and Dumoulin had achieved together.
"He's grown alongside the team into one of the world's best riders and he is a true champion," Spekenbrink said. "Having enabled that development within the environment we offer our riders is something we are really proud of and will always hold on to. Our vision is to bring riders as far as possible and make the most out of them – this is what we believe we have done here.
"It's been a difficult year for Tom with the setbacks he has experienced," he continued, referring to Dumoulin's crash and subsequent withdrawal from the Giro d'Italia, which also meant that he missed the Tour de France. "It's normal for any person at this age to take a step back and reassess their situation.
"Tom opened up to thoughts that a new environment could be refreshing and we decided to respect his request and cooperate to make a move possible. Tom means a lot to the organisation, and the organisation means a lot to him; we achieved a lot together. We're of course sad to see him leave, but in the end that's top sports: athletes go and next generation promising athletes come. However, we are choosing to look back positively and with enormous pride on our amazing years with a truly fantastic athlete, Tom Dumoulin. We are thankful for the years with Tom and wish him all the best for the future," said Spekenbrink.
"As a rider, you always search for the highest achievable and you constantly ask yourself whether you are still in the right place, what is the best team for you and where the best options and opportunities are," Dumoulin said. "There has always been interest from other teams – that's normal – but the facilities here have always made me not speak with other teams.
"After the disappointment of missing the Tour and finding myself sitting at home, I started to consider that a new environment could be refreshing. That's why I decided to focus on the interest of some teams. There were great offers and this phase of my career felt like the right time to take it," he said.