The Spaniard had been widely tipped to sign a new deal with the United Arab Emirates club, who won the President's Cup last month, but will instead seek a new challenge.
The former Valencia and Atletico Madrid coach told a press conference: "It's a very sad day for me.
"It's been two great years, it's a moment to say goodbye. It has been an emotional two years, we have a had a successful two years.
"The players have showed they are amazing professionals who want to prepare and improve. They fight until the last moment of the last game. It's a difficult moment but it's football, all the time you are learning about life.
"It's the first time in 10 years I have to leave a club, I have big sensations inside. I learn when you have success is the moment to say thank you and let another coach continue."
Al Ahli president Abdulla Naboodah admitted he had tried to persuade the 48-year-old to stay.
He said: "His decision to stick to two years was shown to us a few days ago, we tried our best to retain Quique but at the end of the day it was his decision so it took about a week to decide this. It won't be easy to replace him, he has done a great job."