The 34-year-old confirmed he wouldn't be with the Magpies in 2026, with veteran midfielder Tom Mitchell also not offered another contract.
In a video on his Instagram, Cox thanked the club and supporters, saying he was "pretty excited about what's next".
The towering ruck-forward didn't confirm if he intended to retire or try to extend his career at another club.
"It's crazy to think that you'd never heard of a sport ... to then be a premiership player," Cox said.
"Collingwood supporters are the best supporters in the world."
Cox famously debuted on Anzac Day 2016, kicking the first goal of the game in front of 85,082 people at the MCG.
A former college basketballer at Oklahoma State University, Cox was signed by Collingwood as an international rookie in 2014 after impressing at two combines - one in Los Angeles, and the second in Australia.
After 20 games over his first two seasons on the Magpies' main list, Cox became a regular in 2018 as Collingwood shot back up the ladder.
In one of the most extraordinary preliminary final performances, Cox powered Collingwood into the 2018 premiership decider with a towering effort to help dethrone red-hot favourites Richmond.
The Magpies went down to West Coast the following week in a thriller, but Cox became a premiership player five years later when Collingwood defeated the Brisbane Lions in an epic 2023 grand final.
Cox became an Australian citizen in 2022 in a ceremony at the MCG.
Wearing goggles for his final few seasons due to a serious eye injury, Cox ends his time at the Magpies with 127 goals.
Mitchell spent three seasons at Collingwood after stints at Sydney and Hawthorn.
"Mason, who moved to the other side of the world to pursue a sport he had never played before, worked incredibly hard to learn the unique skills of Australian Rules," Collingwood list manager Justin Leppitsch said.
"His dedication and commitment to Collingwood are a credit to the person he is.
"We understand that Mason and Tom are keen to explore AFL opportunities elsewhere.
"We wish them all the best for their future endeavours and hope another opportunity arises to continue their AFL careers."
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