The Latics were beaten 6-2 by MK Dons on Saturday, and his departure was announced on Sunday.
It was not announced whether he had resigned or had been sacked, only that it followed talks with the club's board.
Sheridan's departure ends a dramatic week at Boundary Park. One player was fined two weeks' wages and two had been "severely censured and warned as to their future conduct" after fighting at Belle Vue Race Track.