Toivonen, 33, starred during almost two seasons with Victory after arriving in Australia in 2018 and the Swede is reportedly set to return to Malmo.
The veteran's departure from Victory was confirmed on Thursday, with the A-League season still unfinished due to the coronavirus pandemic.
"I've really enjoyed my time at Melbourne Victory," Toivonen said in a statement.
"Given everything that is happening in the world and in the league at the moment, we believe now is the right time for us to move back to Europe.
"Melbourne is a fantastic city and Victory is a very professional and well-run club. While we didn't achieve the success we had all hoped for over the past two years, it was a privilege to captain the club this season.
"I want to thank the members and fans who create a special atmosphere to play in front of, both at home and away games, and I have really enjoyed scoring goals and celebrating with you after our wins.
"Finally, I want to thank my team-mates and everyone that works at the club, all the football staff, the administration staff and the board. I hope the club is back challenging for titles next season."
Toivonen scored 29 goals in 49 games for Victory, including 25 in 40 appearances in the A-League.
Victory football operations manager Paul Trimboli paid tribute to Toivonen.
"On behalf of everyone at Melbourne Victory we would like to wish Ola and his family all the best for their move home to Europe," he said.
"We understand Ola's decision to return home and we thank him for his service and professionalism over the past two seasons at Victory.
"Ola is a world-class striker, and he's not only kept our members and fans entertained through his skill and finishing but it's also been great for our young players to watch and learn from a player of his calibre."
Toivonen played for Malmo between 2007 and 2009 before joining PSV, while spells at Rennes, Sunderland and Toulouse followed prior to his move to Australia.
The A-League season was suspended in March with Victory 10th in the table, and reports say it could be finished in August.