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."
Raul, whose international career ended in 2006, joined Schalke after he became surplus to requirements at Real Madrid, the club where he had been a talismanic figure.
It was uncertain how well he would adapt to rainy, industrial Gelsenkirchen, where Schalke have an almost cult-like following, after the more refined surroundings of the Bernabeu.
He adapted well, however, scoring 13 goals in his first Bundesliga season and five more in the Champions League, taking his all-time tally in Europe's top club competition to a record with 71 goals as Schalke reached the semi-finals.
He also won a German Cup winners' medal, scoring once along the way.
He has continued to consistently find the net this term with 14 more goals in the Bundesliga, two in the cup and four in the Europa League. In all, he has scored 39 goals for the Royal Blues.
"Raul is a complete team player, who will give everything for the team and the club until his last match," said coach Huub Stevens. "I have great respect for him."
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