The 29-year-old Scotland international is on the look-out for another club ... and has hinted he would love a return to the club where he started his career.
He joined the Clarets in January 2007 from Sunderland but has been dogged by injuries this season, making only 13 appearances.
Caldwell led Burnley for the final time in Sunday's comeback win over Tottenham, while he scored his only Barclays Premier League goal for the club in their 1-1 draw with Aston Villa in November.
Caldwell: "It's obviously the end of a journey that I've thoroughly enjoyed. It's been an exhilarating experience to get to the Premier League, to win the play-off final at Wembley, and to lead that bunch of men like I have done for that amount of time has been an honour and a privilege.
"There's many great people at Burnley that are the heart and soul of the club. I'll be looking out for the results and I sincerely hope Burnley do well.
"The supporters have been fantastic, especially this season. They've always backed us and they've given us that extra bit of support when we needed it. I'm a little bit sad to go but I'm looking forward to my next challenge.
"Obviously I would love to stay in the Premiership, and who knows what will happen.
"I am open to offers."