The 34-year-old forward's current contract will come to an end at the conclusion of the Bundesliga campaign and his club have confirmed he will not sign a new deal.
Raul joined Schalke from Real Madrid in the summer of 2010 and proved instrumental in their run to the Champions League semi-finals last season.
Schalke also won the German Cup in 2010-11 and Raul has continued to score with regularity this season, with his record in the Bundesliga reading 27 goals from 63 games in total.
"My playing future is not in Europe,'' said Raul, who has been linked with a move to Qatar.
"They were two wonderful years that I will always bear in my heart. I was able to do what I like doing the best: playing, playing, playing. I also have to give the fans a special thanks for their affection and respect.''
Schalke have said they will temporarily retire the No. 7 shirt in honour of Raul's time at the club.
"Raul is a complete team player, who will give everything for the team and the club until his last match," said coach Huub Stevens. "I have great respect for him."