"I feel that now is the right time for me to seek a new challenge and direction in my professional career," said the 53-year-old, Wigan's longest-serving coach of the Super League era.
The announcement comes just two days after a 38-10 derby victory over Warrington that keeps Wigan in touch with Super League leaders St Helens.
Wane, who succeeded Australian Michael Maguire as head coach in 2011, will stay on until the end of the current campaign.
"I feel certain that his decision to leave will have been a difficult one but he is a winner who wants to advance his career and challenge himself further on a different stage, having won everything with Wigan," said club owner Ian Lenagan.
Under Wane, Wigan have won the Challenge Cup, League Leaders' Shield, World Club Challenge and two Super League Grand Finals and they are on course to complete the double for a second time, having reached the quarter-finals of the Challenge Cup.
Despite his devotion to his home-town club, Wane has made no secret in the past of his desire to coach in Australia.