Petrescu was signed by former Southampton manager Glenn Hoddle from Bradford City in January 2001 and weighed in with some vital goals.
But since Hoddle's departure for Tottenham, Petrescu has found his first-team opportunities limited at St Mary's.
Last season the 32-year-old made just two appearances on the bench for Saints and manager Gordon Strachan made it clear the former Chelsea defender did not figure in his long-term plans.
Southampton have reached a settlement with Petrescu, who had a year remaining on his contract.
Petrescu won 95 caps for Romania and scored the goal which knocked England out of the 1998 World Cup.
He is said to have three top Romanian clubs seeking his services.
Petrescu said: "It is an exciting challenge and opportunity for me.
"I have always wanted to go into management and now is the right time.
"I cannot say yet which club I will be joining and whether it will be as a player or coach, or both," Petrescu told Southampton's official website.
"But it should be sorted out in the next few days and I am very happy to be going home.
"All my family still live there, my wife, children, parents, brother and a lot of friends and I have missed the country.
"I have felt at home in England and still do - but I think you always want to return to the country where you were born.
"Southampton have been very good to me and I am grateful to them for giving me this chance.
"I cannot say a bad word about them."
Southampton chairman Rupert Lowe said: "We have mutually cancelled Dan's contract so he can pursue his career in Romania.
Lowe insisted: "It is a friendly and constructive decision which suits both parties.
"We thank Dan very much for what he has done for us.
"He has been a model pro but he was concerned he was not playing enough football."