Mendy ends three years at Stamford Bridge, having joined from Stade Rennes in the summer of 2020.
The Senegal international made 105 appearances for Chelsea in total and kept 49 clean sheets.
Mendy was instrumental in Chelsea's Champions League triumph in 2021, keeping nine clean sheets along the way.
He also won the FIFA Club World Cup and UEFA Super Cup during his stay in West London.
Last season, Mendy made just 12 appearances for Chelsea as he lost his starting spot to Kepa Arrizabalaga.
In a farewell message to the Chelsea family, Mendy wrote on Twitter: As I prepare to begin a new chapter in my career, it's hard to say goodbye. It has been an incredible three years wearing the Chelsea jersey, during which we achieved great success, including winning the Champions League, the UEFA Super Cup, and the FIFA Club World Cup.
'I want to sincerely thank Roman, Marina (Granovskaia), Petr (Cech), Christophe (Lollichon, a former Chelsea goalkeeping coach), and the entire staff who made it possible for me to represent this prestigious club. I am thankful to my coaches and all the staffs for the invaluable lessons and growth I experienced.
'A special thanks goes to all my teammates for the unforgettable journey we shared together. I also want to extend my deep gratitude to all the fans for their unbelievable support throughout my time at Chelsea.
'Although it's time for me to turn a new page. I sincerely wish the club continued success with the new owners and numerous titles in the years to come.
Mendy is the latest Chelsea player to move to Saudi Arabia this summer after N'golo Kante joined Al-Ittihad and Kalidou Koulibaly signed for Al Hilal. Hakim Ziyech is also expected to join Al Nassr in the coming days.
Mateo Kovacic has left for Manchester City and Kai Havertz joined Arsenal on Wednesday.
