Brazilian media linked the 34-year-old Willian with a move to Premier League club Fulham.
Willian also said in an interview with TV Globo that he left Corinthians because of threats he and his family received via social media.
"The reason why I am leaving is the threats I suffered, my family too. They never stopped. Whenever Corinthians lost and I was not doing well in the match, my family received those threats, insults on social media," Willian said. "I know this is not most fans, it is a minority, but that causes a big impact, especially to my daughters.''
Corinthians confirmed Willian was released from his contract, which was due expire in December 2023. He had returned to the Sao Paulo-based club, where he started his career, one year ago.
"My objective is to live abroad. I have a British passport, so I can live there with my family,'' Willian added. "I have no club yet. I will decide once I am there.''
Willian will exit Corinthians after a frustrating year in his home nation, having scored only one goal in 45 matches. The winger recently had been plagued by shoulder and thigh injuries.
Willian's decision comes only days after Corinthians was eliminated by Flamengo in the quarterfinals of the Copa Libertadores.
Willian's best moments were at Chelsea, where he played from 2013-20. He won two Premier League titles and a Europa League trophy. But at Arsenal he was far from his previous form; he scored only once for the club.
The winger played for Brazil in the 2014 and 2018 World Cups.
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