"On behalf of the entire organization, I wish Ilya and his family all the best in their future endeavors."
Kovalchuk, 30, played 11 seasons in the NHL, including the last four with New Jersey. He retires with career NHL totals of 417 goals and 399 assists for 816 points with 516 penalty minutes in 816 games.
"This decision was something I have thought about for a long time going back to the lockout and spending the year in Russia," Kovalchuk said. "Though I decided to return this past season, Lou was aware of my desire to go back home and have my family there with me.
"The most difficult thing for me is to leave the New Jersey Devils, a great organization that I have a lot of respect for, and our fans that have been great to me."
In his final season in the NHL, Kovalchuk registered 11 goals and 20 assists for 31 points in 37 games with the Devils in 2012-13.
He was traded to New Jersey by Atlanta on Feb. 4, 2010, and was the Thrashers' first overall selection in the 2001 NHL Entry Draft.
Kovalchuk forfeits $77 million that remains on his contract, but will sign a new contract with SKA St. Petersburg of the KHL as early as Friday, a source close to the situation told TFP.
Kovalchuk played for SKA during the NHL lockout, from September through January.
According to the KHL source, Kovalchuk already has an agreement in place with SKA, and an announcement will be made "soon." It's believed Kovalchuk's new multi-year contract with SKA will pay him in the neighborhood of $15 million per season.