Higuain spent the second half of 2018-19 at Stamford Bridge but scored only five goals in 14 Premier League appearances.
The 31-year-old previously hit 36 league goals in the 2015-16 Serie A season for Maurizio Sarri's Napoli and he will be expected to team up with the Italian again after the coach's switch from Chelsea to Juve.
Chelsea had the option to pay €18 million (£16m/$20m)) to extend Higuain's loan for another 12 months, while the Blues could have also purchased the forward from Juve for €36m.
Higuain, who previously signalled he hoped to stay at Chelsea, has been linked with a move to Roma but his brother and agent Nicola tweeted on Sunday that he will not play for a Serie A club other than Juventus next term.
Chelsea announced the exit of five players at the end of their contracts on Monday, with Higuain followed by former captain Gary Cahill out of the club, along with Rob Green, Eduardo and Kyle Scott.
They said of Higuain on the club's official website: "Gonzalo Higuain joined Chelsea on loan from Juventus in January. He was reunited with Maurizio Sarri after their successful time together at Napoli.
"He netted three more times before the expiry of his loan, all sharp finishes that highlighted his natural ability in front of goal. Fulham, Burnley and Watford were his victims, and he more than played his part in our eventual third-placed Premier League finish.
"With Olivier Giroud leading the line in the Europa League, Higuain’s involvement was largely limited to domestic competitions, but he leaves having added another winners’ medal to his extensive collection after victory in Baku."
Chelsea lost star player Eden Hazard to Madrid last month but earlier this year brought in United States forward Christian Pulisic from Borussia Dortmund as a replacement.