Her departure on Saturday comes as Minister of Police Fikile Mbalula begins the search for her permanent replacement.
Phiyega told Independent Media on Friday night she was happy she had run her full race.
Mbalula has said he wants a new police commissioner by the end of August.
Last week President Jacob Zuma appointed Lieutenant-General Lesetja Mothiba, after he removed Khomotso Phahlane as acting head of the police.
This followed allegations of corruption against him that are being investigated by the police watchdog, the Independent Police Investigative Directorate.
Phahlane had taken over from Phiyega after she was suspended by Zuma in October 2015, following the findings of the commission of inquiry into Marikana.
On Friday night Phiyega said she was not aggrieved about her departure from the police.
“A contract is limited. The important thing is that I ran my full race for five years and the separation is on the basis of my contract coming to an end.
"The minister is right, and the president is right."
However, she did not say where she would be going after leaving the South African Police Service.
But she did say she would continue with her review applications in the High Court against the findings of the Farlam Commission of Inquiry and the board of inquiry by Judge Neels Claassen.
Both inquiries made damning findings against her the issue of the Marikana massacre of 2012.
She said she would continue with the reviews because they dealt with issues beyond the contract, and the court still had to decide on the findings.
Phiyega had been on suspension over the past 18 months while Phahlane remained in charge.
But his tenure was cut short two weeks ago when Mbalula suspended him.
Mbalula told Parliament this week he was on a search for a new permanent head.
He said the appointment would have to be made by the end of August.
This was the message he also communicated to the president because he wanted stability in the police.
Mbalula also said he wanted to appoint apermanent head of the Hawks after the axeing of Berning Ntlemeza following two adverse court decisions.
Political and Development Hub