The 33-year-old former Senegal international arrived at Elland Road in October and both parties have agreed to his departure.
Simon Grayson said: "His experience around the team and the training ground has helped us. We wish him well for the future."
Faye made his debut for Leeds in a 2-1 defeat at Ipswich on October 2 and has since made seven further appearances for the Whites.
Source: PA