Carr has worked with the broadcaster for three years, firstly co-hosting with Emma Forbes, before being teamed with Melanie Sykes more recently.
The Channel 4 chatshow host said that he had "loved every minute" of working on the show, but added that he was looking forward to "reclaiming my weekends".
"I wish Radio 2 every success but I'll listen from my home in the future instead," joked Carr.
Radio 2's Lewis Carnie commented: "We'd like to thank Alan for his contribution over the past three years. Alan and his co-presenter, Mel Sykes, have made a terrific contribution to Saturday evenings on Radio 2."
Plans for a new Radio 2 Saturday night lineup will be revealed shortly.
Carr is the latest big name to depart the broadcaster following exits from Zoe Ball in February and Alan Titchmarsh at the end of 2011.
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Watch Digital Spy's video interview with Alan Carr below: