The 26-year-old, who was subject to interest from Burton Albion in September 2020, was approached by the Saddlers in late November and offered a new two-year deal.
The striker turned down the contract, however, and will see out the remaining weeks of his current contract which expires this summer.
It is understood Gordon had no interest in staying at the Banks’s Stadium and rejected any conversations about staying on next season.
As a result, he was among eight players the club released this week when they announced their released and retained list.
Gordon joined Walsall in the summer of 2018 when he left Leicester City, who had plucked him from non-league Stafford Rangers.
Playing in his first season in League One he scored nine goals in all competitions as the Saddlers were relegated.
After a slow start to the following campaign he had an impressive second half of the season and finished with 12 goals in all competitions as Walsall came mid-table, after the season was curtailed early due to the pandemic.
This season, after a good start in the early stages, he suffered a medial knee injury and missed two months of action between October and December. The forward struggled to regain his previous form and only netted four times between December and May, to add to his two strikes at the beginning of the season.