The Norwegian, whose contract expires on Saturday, was appointed in May 2016 and took charge of his last game on Tuesday when he steered his team to a victory over Hong Kong that booked their spot in next year's Asian Cup finals.
"I don't want to stay," he said.
"It was interesting and I learned a lot and experienced many things, but the economic situation is not so good so it's not possible to stay.
"After two years I want to take the next step and hopefully stay in Asia."
The U.N. Security Council has unanimously boosted sanctions on North Korea since 2006 in a bid to choke off funding for Pyongyang's nuclear and ballistic missile programs, banning exports including coal, iron, lead, textiles and seafood, and capping imports of crude oil and refined petroleum products.
The sanctions have had a major impact, with the North's sporting organisations also affected.
In December, Andersen led his team to the finals of the East Asian Championships in Japan but organisers said they were unable to award any prize money to the North Koreans due to economic sanctions.
While Andersen's team finished fourth in the men's competition, North Korea's women won their tournament, only for the national association to miss out on a $70,000 payday.
Despite the issues, Andersen said he improved the fortunes of the squad during his stay in Pyongyang.
"The team now is stronger and we have seen that in the last game here and in Japan against the strongest teams at the end of last year," he said.
"When I came here I was given two targets, to qualify for the East Asian Championships in Japan last year and after that to qualify for the Asian Cup.
"There was also a third, which was to change the playing style of the team. When I came here they only played long balls and running and fighting without tactics.
"Now we are playing football, we are advancing and tactically we are good. That is for me the most important point."
After his two-year stint in Asia, the former Mainz and Karlsruher coach is returning to Germany but says he would be keen to return to the region to work in the future.
"I've got some offers for my next job but I haven't decided where I want to go," he said.
"I'm still open to ideas. I learned a lot and I like working in Asia.
"I've worked here for two years and there have been good developments for the team."
(Editing by Peter Rutherford)
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