McCullum has confirmed Friday's game for the Brisbane Heat against the Melbourne Stars is set to be his final game in the Big Bash League.
"I will continue to play T20 cricket in 2019 in various competitions around the world and will then look to transition into a coaching career," McCullum said in a statement.
"The prospect of being able to transfer the skills, experience and leadership I have been lucky enough to bank over my long T20 and also international career into coaching is very exciting.
"I have absolutely loved playing for the Heat. The fans have been amazing with their support and I have enjoyed seeing the pleasure they get from coming to our matches and having fun.
"I've had a great time playing with my teammates, and it was a privilege to captain them. Coming into Brisbane each year before the start of the competition was always a highlight."
McCullum has scored 302 runs in 13 innings for the Heat in the current season. Brisbane sit sixth with a game remaining and are an outside chance of finishing in the top four.
The 37-year-old has been part of the Heat team since the inaugural Big Bash League season in 2011.
"Being a part of the BBL has been a special part of my career. Having been there at the start, and then seeing it grow and evolve into one of the best T20 competitions in the world has been great to be part of.
"I think the BBL will get stronger and better from here too as everyone becomes more comfortable with the format and the clubs continue to be bold in their planning and preparations."
