The 26-year-old has joined fellow wingers Ryan Williams and Jon Taylor in rejecting a new contract at the Millers and walks away on a free transfer.
South Yorkshire rivals Doncaster are thought to be leading the race for his signature.
Newell ends his four-year stay at the AESSEAL New York Stadium where he was the third longest-serving player behind Richard Wood and Joe Mattock.
He played 150 times for the Millers, helping them to the Great Escape under Neil Warnock and also promotion from League One last season.
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Newell loved his time in a red and white shirt but is ready for fresh scenery, having joined the club in 2015.
“I have thoroughly enjoyed my time at Rotherham, and I know I’ll always look back on my stay here with great fondness in years to come,” he said.
“It has been four memorable years, with the win at Wembley a special day which I will cherish forever.
“I have made some friends for life at this club, who I know I will stay in contact with and it has been thoroughly enjoyable to work with them on a daily basis.
“I want to thank my team-mates, the staff and supporters who have been magnificent with me throughout my four years.
“The club is in great hands with the gaffer (Paul Warne), he has been a pleasure to play for.
“I leave with a heavy heart but I just felt the time was right for a fresh challenge. It was a decision I didn’t take lightly.
“I wish the club all the best for the future.”
Newell's departure means that this summer is quickly turning into a rebuilding job for Warne.
As well as Taylor, Williams and now Newell, the club have to replace loanees Richie Towell, Marek Rodak and Zak Vyner.
There are also doubts over the future of Will Vaulks and Semi Ajayi.
Vaulks has been the subject of an unsuccessful bid from Cardiff while the Millers are accepting that Ajayi could put himself on the map if he shines for Nigeria at the African Nations Cup this summer.