Neil Hannon talks to the BBC ahead of the gig
Over the last 10 years, they have become one of Northern Ireland's most successful musical exports, responsible for hits such as Something for the Weekend and National Express.
They were also behind the theme tune of the TV comedy show Father Ted.
With successful singles and seven albums under their belt, it seemed an unusual time for the band to call it a day.
But lead singer Neil Hannon, the founder member of the band, who was brought up in County Fermanagh, said he felt they had gone as far as they could.
"We've rocked for many years now," he said.
"I personally got the feeling, that we'd come to a kind of plateau of what we could achieve together.
"Unfortunately, I don't have the ability to just keep going for the sake of it."
Hannon was asked if their last gig in Belfast's Mandela Hall would be a mixture of sadness and joy.
He replied: " I don't know. I don't really like to think about it.
"I've been trying to ignore the whole fact for about a month. I imagine it will be both.
"We shall just have as good a time as possible, but it will be quite sad."
But Divine Comedy fans should not be too despondent as Hannon said he was not going into permanent retirement
"Frankly, I don't know how to do anything else. I'm a one-trick pony," he said.
"I'm going to go home and just write lots and lots of music.
"I fancy doing what I did when I was about 20 and hiding in my parents' attic - although I'll hide in my own attic this time - and pay for my own food.
"Just take as long as it takes... to find out exactly what sort of music I want to make."
Hannon is originally from Londonderry but was brought up in Enniskillen, County Fermanagh.
Fellow band members Bryan Mills and Ivor Talbot are also from Enniskillen and went to school with Hannon.
It is probably this close link that causes the band to be generally considered as Irish, despite the fact that the other members all come from England.
Picked title
Joby Talbot is from Wimbledon in south London, Rob Farrer is from Leicester, Pinkie Bates is from Orpington in Kent and Miggy Barradas is from north London.
The band is named after Dante Alighieri's poem, a Medieval Italian work about his allegorical journey through hell, purgatory and finally paradise guided by the Roman poet Virgil.
Neil was sitting in his father's study at home in Ireland and needed a name for his band.
He saw the book on the shelf and picked the title just because it sounded good.
He says it was not until several years later that he actually got round to reading it.