The forward has agreed to join League Two outfit Southend on a three-year deal.
Harris, 33, the club's record goalscorer with 138 goals, has one year remaining on his Millwall contract but has been allowed to join his local side.
Harris said: "It would take me months to write to every Millwall fan I have got to know over the years to thank you for your support because there are so many of you.
"I know I will be seeing you all again anyway when I come down to The Den to support the lads in the future, but for now, from the very bottom of my heart, can I thank each and every one of you for a fantastic 11 years of my life."
Harris, who made a full recovery from testicular cancer diagnosed in 2001, has made over 500 appearances and scored 176 goals during a 14-year career which included two spells at Millwall.