Dunne made 388 appearances and scored 17 goals for the Lions during a 22-year-old association with the club but is one of a host of players whose contracts will not be renewed at the end of a disappointing Championship campaign.
Chairman John Berylson said: “It is always sad when a member of your family who has lived with you for a long time, leaves home.
“Like Neil Harris and Paul Robinson before him, Alan leaves us with our thanks and very best wishes for the future. He has written his own chapter in Millwall’s history and he will always be very welcome whenever he returns to The Den.
“While Alan will continue his playing career elsewhere, it would not surprise me to see him back here in some capacity further down the line.”
Players released: Nicky Bailey, Matthew Briggs, Dylan Casey, Richard Chaplow, Alan Dunne, Carlos Edwards, Sofiane El-Bekri, Ricardo Fuller, Denzel Gerrar, Jake Goodman, Magaye Gueye, Justin Hoyte, Stefan Maierhofer, Angel Martinez, Danny Shittu, Josh Siafa, Callum Webb, Martyn Woolford.
Millwall manager Neil Harris revealed the club have made new contract offers to Jimmy Abdou and John Marquis.