"Jason feels the close season is an appropriate time to part company," it said.
In his five years in charge, former Australia paceman Gillespie has been one of Yorkshire's most successful coaches, leading them to promotion from division two of the County Championship and then back-to-back titles.
During that period the county suffered just five defeats in 76 Championship fixtures.
The 41-year-old, whose wife and four children have recently returned to Australia, has been linked to a number of international coaching positions and also coaches the Big Bash franchise Adelaide Strikers.
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Yorkshire will not name Gillespie's successor until the season ends.
(Reporting by Neil Robinson; editing by Amlan Chakraborty)
