Sheringham began his career at Millwall in 1982, but really made his name under Brian Clough at Nottingham Forest in the early 1990s.
He joined Colchester on a one-year deal last summer, and - injury permitting - his last game for the Us will be at Glanford Park on Sunday May 4.
The match looks to be a pivotal one for both sides, with the Us currently bottom of the Championship and Scunthorpe just above them in 23rd spot.
"I've no immediate thoughts about going into management but football has always been my life and, hopefully, I will be back in the game at some point in the future.Until then I have to try and help Colchester stay in the Championship," said Sheringham.
"It's been a long and fun-filled career but this is the end of me as a player. I've had a fantastic time at all my clubs and want to thank all those that have contributed to my career and helped me."
Sheringham was capped 51 times by England, netting 11 international goals.