The deal between the second-tier German club and Gazprom had been due to run until 2025 with Schalke receiving around €9 million ($10 million) per year in sponsorship.
Had the Gelsenkirchen-based club won promotion back to the Bundesliga at the end of this season, the sponsorship figure would have risen to €15 million annually.
Schalke had already removed the Gazprom logo from their shirts for Saturday’s 1-1 draw at Karlsruhe.
In a statement, Schalke said their finances were “unaffected by this decision”.
“The club’s management is confident that it will be able to present a new partner in the near future.”
Gazprom representative Matthias Warnig resigned from the club’s supervisory board last Thursday.
Hans-Joachim Watzke, interim president of the German Football Association (DFB), had already hinted there could be financial aid for Schalke if they split from Gazprom.
“If this requires the solidarity of other clubs in Germany to get them out of this situation, then we have to discuss how we can manage that,” Watzke told ZDF.