Duke, 29, has been linked with a switch to Al-Taawoun after a season and a half with the Wanderers.
The six-time Australia international, who was made captain ahead of 2019-2020, scored 18 goals in 37 games for the Wanderers.
"There's only one club I'd love to come back to, it's where I'm from, it's where I represent and leaving as the captain, you know I'd love to come back. We'll see what happens in the near future."— WS Wanderers FC (@wswanderersfc) August 20, 2020
A message from @mitchduke8 #WSW pic.twitter.com/X9C0aLhJxG
Duke's exit from Western Sydney was confirmed on Thursday despite the A-League club saying they put forward a "substantial offer".
"The offer from the Wanderers made it very difficult for me to make this decision, but I have been presented an amazing opportunity in Asia that is in the best interests of my family and it is one that I couldn't turn down," Duke said.
"I will never forget my time here at the Wanderers, it really feels like my club, it has been an honour and dream come true to represent the red and black and to be the club captain.
"The time I have spent with this club is something that I will hold close to my heart for the rest of my career.
"I would like to thank the chairman Mr Paul Lederer, CEO John Tsatsimas and head coach Jean-Paul de Marigny for their belief in me and also all the staff and members who have never stopped supporting me and have now become my Wanderers family.
"I know that if I ever come back to the Hyundai A-league, the Wanderers will be my main priority.
"I wish them all the best in the coming season and I will miss playing for the red and black."
Wanderers chief Tsatsimas praised Duke for his contribution to the club, where he arrived in January 2019.
"Mitch has been an incredible ambassador for our club and has always understood the weight that wearing the red and black hoops carries," he said.
"We put in a very strong offer to keep Mitch at the club despite the uncertainty that still surrounds the salary cap for next season.
"Mitch was a player that we knew we wanted to represent the club moving forward, however we understand the current global situation and his decision to pursue what is a very good opportunity for him and his family overseas.
"As an entire Wanderers family, we wish Mitch and his family all the best for his future and hope to someday see him back in the red and black."