Dubai and Sharjah in the United Arab Emirates have been the venues for every match so far but the final is scheduled to be played in Pakistan on 5 March.
The 31-year-old, who has been playing for Quetta Gladiators in the month-long Twenty20 tournament, said it was "not worth the risk".
Team-mates Tymal Mills and and Kevin Pietersen have also withdrawn.
Dubai and Sharjah in the United Arab Emirates have been the venues for every match up until the final.
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Wright, who last played for his country in March 2014, claimed on Twitter that players were given assurances that they could choose whether to compete in a Pakistan-based final when they signed their PSL contracts.
The venue for the final was only decided on Monday.
Mills, who took seven wickets in five games for the Gladiators, said he had had an "awesome time" in the tournament, but would not play in the final, which will be against Karachi Kings, Islamabad United or Peshawar Zalmi.
"Unfortunately I will not be travelling to Lahore for the final but will be watching from home and cheering on the boys who I know will fight just as much as they have all tournament," he said.
Pietersen confirmed on social media that he had flown back to Heathrow airport and his winter schedule of Twenty20 tournaments was over.
Sri Lanka's team bus was attacked by gunmen in Lahore in 2009 with six policemen killed. Several of the Sri Lanka team and staff were injured.
At least eight people were killed in the city in February by an explosion in a shopping area, days after 11 others were killed by a suicide bomber.
Britain's Foreign Office warms of a "high threat of terrorism, kidnap and sectarian violence" in the country and that "foreigners, in particular westerners, may be directly targeted".
Former Pakistan captain Imran Khan called the decision to host the match in Lahore "madness".
England all-rounder Luke Wright has pulled out of the Pakistan Super League final in Lahore, citing safety fears.