Centre-forward Rodney was snapped up in January on a two-and-a-half-year contract while Jamie Fullarton – who had worked with the player at Halifax Town – was technical director.
However, with the Saddlers in a desperate run of form and in need of an immediate boost, the 24-year-old was brought in while injured.
The former Port Vale man was forced to play catch up from thereon and, ultimately, failed to impress in a Walsall shirt.
After making 14 appearances and only two as a starter, without scoring a goal, he now heads to Spotland 'after the two clubs concluded a transfer agreement'.
Walsall said in a club statement: "We would like to thank Devante for his efforts and wish him well for the future."
Rodney has signed a two-year deal at Rochdale and added: "I’m really happy to get it over the line and I can’t wait to get started.
“Last season didn’t go to plan for me so I’ve got a lot of fire in my belly for this season and now I really want to push on.”