The Italian forward, who is in his 10th campaign with the Friuli outfit, revealed after Monday's 3-1 home defeat to Verona that he will hang up his boots.
"I have already spoken at length with my family and the decision has been made," Di Natale said to Sky Italia. "I will retire from football in June.
"I have already spoken to my agent.
"The club will be informed soon but right now my focus is on the current campaign."
The 36-year-old, who scored 11 goals in 42 appearances for Italy, has endured a frustrating season so far.
Udinese have won just six of their 18 Serie A games and lie 13th in the standings.
Di Natale, who began his career at Empoli in 1996, has received criticism from the fans for his lack of goalscoring this season.
The veteran forward has found the back of the net just three times in 16 league appearances.
"The criticisms hurt," Di Natale said. "I have scored more goals for Udinese (180 goals in Serie A) than I've gone out to the cinema with my wife.
"I care about Udinese, as this club is like my family."