The 23-year-old Slovakia-born former Chelsea trainee made the announcement on his Facebook page.
"After thinking about my future I chose not to accept the terms offered from Walsall for a simple reason," he said. "We did not agree on the new deal so it was best to move on."
Lalkovic was in his second spell at the Banks's Stadium.
He first arrived from Chelsea on a six-month loan in the summer of 2013, before returning last summer.
All 14 of his goals in 126 appearances in English football have come with Walsall.
He had a loan spell in his Chelsea days with Doncaster Rovers and was then signed by Barnsley on a short-term deal in January 2015, prior to returning to Bescot.
Walsall winger Milan Lalkovic has left the League One club after turning down the offer of a new one-year contract.