The former Arsenal and Chelsea player signed a one-year contract extension at Fulham last year, which has now expired. Reports in the British media have linked him with a move to Saudi Arabia.
"I would like to thank Fulham for a wonderful two years. It was special to return to the Premier League and be part of this historic club and the amazing fans," Willian wrote on Instagram.
"I have had incredible moments and this club will always be in my heart."
Willian, who plays as a left winger or attacking midfielder, made 58 Premier League appearances during his Fulham stay, scoring nine goals.
He scored in a 2-1 win against his former club Chelsea in January 2023, helping Fulham to get their first league victory over their West London rivals in 17 years.
Fulham begin their Premier League campaign at Manchester United later on Friday.