The 44-year-old stepped up from his position as assistant to take over the Ukraine senior side in July 2016.
After missing out on qualification for the 2018 World Cup, Shevchenko guided his country to the delayed Euro 2020 finals, where they reached the last eight for the first time in their history.
However, the legendary former Milan striker announced on Sunday that he will not be extending his contract to stay on as Ukraine boss.
"Today, my contract with the Ukrainian Football Association came to the [sic] end," he posted on Instagram. "I spent five years with the national team.
"It was hard work that proved that we are capable of playing modern football. I am grateful to the president and the executive committee of the UAF for the opportunity to work with the Ukrainian National team.
"I am thankful to every player, every person who helped and was involved in the team. Many thanks to all the fans for their support and criticism.
"Together, we managed to show that our football can be competitive, productive and exciting. With faith in Ukraine."
Ukraine advanced as one of the best third-placed finishers in the group stage of Euro 2020 and beat Sweden 2-1 after extra time in the last 16.
However, their campaign was ended in the next round with a resounding 4-0 defeat to eventual runners-up England.