Neuner, who won the 10km pursuit and 12.5km mass start titles, told her team her Olympics were over.
"She has decided not to take part in the relay," a team spokesman said. "It was her decision."
The 23-year-old Neuner, who also won silver in the 7.5km sprint, felt exhausted after four races and wanted to give other women in the strong German squad a chance to shine, he added.
"She has reached everything, and maybe even a bit more, than she ever dreamt of at these Olympic Games, so she wanted to give her team-mates a chance to win their own medals," the spokesman said.
"There was a chance that after succeeding three times (with two gold and a silver) she might be lacking mental strength to perform at her best," he added.
"She said that she couldn't stand the idea of missing shots due to lack of concentration and thus costing her team a medal."
Nicknamed 'Gold Lena' in biathlon-mad Germany, Neuner was taking part in her first Olympics. Six times a world champion, she became in 2008 the youngest women's overall World Cup champion.
Her decision to skip the relay came as a surprise after she had said following her mass start win on Sunday that another gold was within her reach.
Neuner's second gold on Sunday was watched by over 10 million spectators in Germany, giving public television channel ARD their best figure since the start of the Games.
The blonde customs officer recovered from a shaky first round of shooting to snatch gold courtesy of a turbo-style finish at Whistler Olympic Park.
Even without her, Germany, who have plenty of in-depth strength, will be title contenders in the 4x6km relay, for which coach Uwe Muessiggang is expected to rely on Andrea Henkel, Kati Wilhelm, Martina Beck and Simone Hauswald.