Gay, 33, also confirmed on social media with an Instagram post that said: "One hell of a ride in the City of Champions. Loved every moment."
Cutting Gay will save $1.75 million in cap space before the league year begins on Wednesday and end his second stint with the Steelers.
Gay appeared in every game last season but did not start a game for the first time since his rookie season in 2007. He recorded 19 tackles, one interception and forced two fumbles.
Gay began his career with the Steelers as a fifth-round pick in 2007 and spent his first five seasons in Pittsburgh. He spent the 2012 season with the Arizona Cardinals before returning to Pittsburgh on a three-year, $4.5 million contract following his release by Arizona.
In 2016, he agreed to a second three-year contract with the Steelers and made nine starts in 2016 before seeing his role reduced in 2017.
He has recorded 571 tackles, 13 interceptions and seven sacks in 176 career games for Pittsburgh and Arizona.