The 29-year-old helped propel the Russian club to the league title last season and was set to feature in the Champions League group stage this year, but he has signed a deal which will see him leave Europe imminently.
"It was definitely not an easy decision for me," the China-bound forward, 29, said in statement. "I had dreamed about playing with my team-mates again in the Champions League and fighting for another league title.
"The club did everything to keep me, but I have to accept that my career will not last forever and I need to think about my family and the future.
"I am making a sacrifice to some extent, but I will never receive an offer like this again. I have agreed to move, but my heart and soul will be with CSKA forever."
The Chinese side claimed that negotiations were drawn out for three months before completion and CSKA admitted that selling the forward, who has been on the club's books since 2004 and signed a new deal earlier this year, was difficult.
"This decision wasn't made easily by the club or Vagner Love," the Russian capital-based club said in a statement. "The forward has been offered unprecedented personal contract terms, while CSKA received a very lucrative offer from the Chinese side."Vagner has made a huge contribution to all of CSKA's recent successes but we understood this was a once-in-a-lifetime offer."
Shandong Luneng, coached by former Barcelona and Real Madrid boss Radimir Antic, currently sit second in the Chinese Super League.