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Dichio, who joined The Lions from West Bromwich Albion in 2004, is one of the club's highest earners and both manager Steve Claridge and chairman Jeff Burnige are keen to remove him from the wage bill.
The striker was told that he was no part of Claridge's plans and the new Millwall boss is hoping Dichio's departure will allow him to sign Nottingham Forest's Marlon King.
Dichio becomes the sixth player to quit Millwall since the end of the season, following Dennis Wise, Paul Ifill, Kevin Muscat, Darren Ward and Peter Sweeney out of The Den.