Hessenthaler, who scored for Gills at Glanford Park earlier in the season, has spent almost a decade at Priestfield.
He joined the Kent club from Watford in 1996, and was named as player-manager in 2000 following Peter Taylor's move to take charge of Leicester City.
He resigned as manager in November 2004, but remained as a player - making 21 appearances this season.
A club statement read: "Gillingham would like to thank Andy for his outstanding service to the football club, and wish him all the very best for the future."