The 28-year-old joined the Saints from Sanfrecce Hiroshima in January 2012 and made seven appearances in their promotion-winning Championship campaign.
However, Lee, who won Southampton's goal-of-the-season competition with his first strike for the club, has failed to break into the first team since their promotion to the top flight, finding opportunities limited under Mauricio Pochettino, who replaced former boss Nigel Adkins in January 2013.
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A statement on the club's website read: "Lee played a vital role in the team's promotion run, with valuable assists in the games against Barnsley and Leeds United, which saw him win a place in Saints' Premier League squad on the club's return to the top-flight.
"A couple of injury setbacks, however, denied the Japanese forward from breaking into the team on a regular basis.
"'Chung' started in the Capital One Cup games against Bristol City and Sunderland but fell down the pecking order again due to the breakthrough of Sam Gallagher from the Saints academy.
"Southampton thanks Lee for his services and wishes the forward well in his future career."