The 38-year-old made 43 appearances last season as the helped the Lancashire club back into the Championship through the play-offs after a four-year stay in League One.
But having gone into his summer break thinking an extended deal was being made available to him, he has now been informed he won’t be kept on.
The former Bolton forward has spent the last two years with Preston, with manager Simon Grayson leaning on his experience extensively.
Davies has already had interest in him from a club abroad and another in the UK but has no immediate plans as yet.
He told Sky Sports News HQ: “I was a little bit surprised. I’ve been having numerous conversations with the club over the last five weeks and at the end of last season when we got promoted.
“They were all very positive in terms of a new deal coming and the club did retain me five weeks ago.
“I spoke to the manager on Tuesday last week when he was on holiday and he reassured me the deal was a few days away.
“I was excited about playing in the Championship again. They had asked me to come on board as one of the coaches to the younger players.
“That’s something I was really interested in doing. I’m on my A licence now and it was a role that really excited me.
“I spoke to the chairman today and he obviously told me there is going to be no offer so I’m disappointed.
“I feel like I’ve been waiting for the last five weeks and had been looking forward to going back into pre-season tomorrow. Now that’s not going to happen.
“These things happen in football. To not make me an offer at all was very disappointing. I was surprised but not shocked. Now that I know, I can start to move on.
“I had two great years with them which finished with winning at Wembley but that chapter’s over and I look forward to the next one. Preston’s loss will be someone else’s gain.”