The club's fans reacted angrily to their side's failure to reach the semi-finals of the African Champions League.
The former Spurs and Ajax coach argued with fans last Friday as his team drew 2-2 with Zambia's Zesco United to end their chances of progressing.
Since then he has also received threats on social media prompting his decision to leave.
Supporters also tried to attack the team during training on Tuesday.
Al Ahly said in statement: "Jol has told us he will not be able to complete his contract (which another season and a half to run) for personal reasons.
"We have accepted that and ended the contract with him."
The 60-year-old, who has also managed Fulham in England and Hamburg in Germany, had helped the Egyptian team retain their domestic title in June.
The club said Jol apologised for going out of the Champions League, a competition they have won a record eight times.
Dutch coach Martin Jol has quit Egypt's Al Ahly after just six months at the club over fears for his safety.