Atletico Madrid's Villa set for New York City FC
Atletico Madrid's David Villa grimaces during the Spanish league match against Elche CF at the Vicente Calderon stadium in Madrid, on April 18, 2014 - by Dani Pozo
"This is another very big challenge for me in my career and my life in general," Villa, 32, said in a video posted on Atletico's website.
He did not mention details of the next step but various media were linking him to the US side.
Villa joined Atletico from Barcelona at the start of last season and helped them to their first league victory in 18 years.
Atletico also came within 90 seconds of winning the Champions League final on May 24 before their rivals Real Madrid scored a dramatic equaliser and won 4-1 in extra time.
Villa is the top scorer in Spain's national team and has been called up to the squad for this month's World Cup in Brazil.
"I thank all the Atletico fans and all the people at the club who wanted me to stay," he said.
"But this is an irresistible thing for me and for my family," he added. "It is a very good project. This is about football and I have to accept."