The 35-year-old, who came through the ranks at Ewood Park, has made 377 appearances for Rovers over two spells but will leave when his contract expires at the end of the season after playing only 11 times this term.
Dunn, who won one England cap during his first spell in east Lancashire, hopes to return to the club in the future.
He said in an open letter on the club’s website: “All good things come to an end, or so they say, and as my 27-year association with Blackburn Rovers comes to what I hope might only be a temporary close, I wanted to place some thoughts and debts of gratitude on record.
“Having first arrived at Ewood as an eight-year-old with the usual boyhood dreams, I am proud to say that what unfolded in the 27 years thereafter has been something of which I am exceptionally proud.
“I have lived the dream of playing for my home town club, during which time to be capped by my country, whilst wearing the blue-and-white halves, transcended even the wildest of those dreams.
“Having had the privilege to play for Rovers in front of my grandad, who as everyone knows has been a life-long inspiration, and more recently my two sons, are memories I will cherish forever.
“There have been some fantastic times and inevitably some not so good, and it is disappointing that I am not able to say my goodbyes with the club in its rightful position in the Premier League and certainly the last months of my Ewood playing career have not panned out with the game-time I always crave, but now is not the time to dwell on negatives.
“I have played with some fantastic players and there have been some very good managers at various stages, all contributing to the most fabulously enjoyable playing career.
“It is on record that I am working towards the highest coaching qualifications I can achieve and one day, who knows, the dream may be resurrected in the Ewood technical area.
“For the short term however, I intend to carry on playing, knowing that my last starting appearance in the FA Cup win at Charlton confirmed that there was still something worthwhile to contribute.
“I would therefore like to express my sincere thanks to the owners, directors, management, staff and team-mates (both current and former) for their contributions at different times.
“But last and never least, to the outstanding Rovers fans, many of whom have been around supporting and encouraging me for the entirety of my 27 years.
“There is a uniqueness about people in our part of the world, of which I am proud to be one and I do hope that in the near future you get back the Premier League team that you deserve. I hope you have had as much pleasure as I have.
“Like I said, it’s been a privilege and an honour to represent you. Thank you to every single one of you.”