The Danish goalkeeper made his mark during his four years in Kansas City, winning numerous individual and team honors.
"I want to thank the ownership group, my teammates, my coaches and the entire organization for the opportunity to have four of the best years of my life, not only mine but my family as well here in Kansas City," Nielsen said in a team statement.
Nielsen, 36, played four seasons with Sporting KC and racked up several honors, including being a two-time MLS All-Star (2010, 2012), MLS Goalkeeper of the Year (2012) and a member of the MLS Best XI in 2012. He also won the Lamar Hunt U.S. Open Cup with Sporting KC in 2012 in addition to MLS Cup in 2013.
"What an incredible way to end a career. Jimmy Nielsen is so important to this organization on and off the field and we look forward to the next phase of our relationship," Sporting Club CEO Robb Heineman said. "We thank him for all he has done for the organization, the city and the fans."
Nielsen holds the all-time club regular season goalkeeping records for games played (128), games started (128), minutes played (11,497), wins (57), ties (32), winning percentage (.575) and shutouts (45).
The Danish goalkeeper joined Sporting KC from Vejle in his home country. He also spent time with Millwall, Aalborg BK, and Leicester City during his career.