The 62-year-old Culpi took over at Atletico for a fourth time in April 2014 and helped the club to the Recopa Sul-Americana, the Brazilian Cup and the Minas Gerais state championship.
They are currently in second place in the league table with two games remaining, they have a guaranteed place in next year's Libertadores Cup but Culpi told reporters on Thursday: "We've come to the end of a cycle.
"I could have continued for two more games but the directors opted to end this period. I think it is important to start planning for 2016. This is a very sad day for me."
With just two weeks left, Culpi's departure means that champions Corinthians are set to be the only club to start and finish the season with the same coach, 54-year-old Tite.