New Zealander Penney, whose side have reached the Heineken Cup quarter-finals and are top of the Pro12 league, attracted the interest of another unnamed club with terms in line with his long-term needs, Munster said in a statement.
"I am disappointed to be leaving Munster as I have thoroughly enjoyed my time here. I have to take this opportunity presented to me and prioritise my family and personal circumstances at this time," Penney said in a statement.
"We still have a few months to go and the goals remain the same - I want to achieve success with this great group of lads."
Former Canterbury coach Penney guided Munster to the Heineken Cup semi-finals last season and they host Toulouse in the quarter-finals of this year's competition in April as they bid for a first European title since 2008.
(Reporting by Padraic Halpin, editing by Ed Osmond)