Nielsen moved to Sheffield Wednesday from Nottingham Forest in 2017.
Another player is leaving Sheffield Wednesday at the end of his contract.
The Owls announced the release of six first-teamers – Gary Hooper, George Boyd, Marco Matias, Almen Abdi, David Jones and Daniel Pudil – following Sunday’s Championship finale against Queens Park Rangers.
And posting on Instagram on Tuesday afternoon, Frederik Nielsen announced he is also on his way out of Hillsborough this summer.
Nielsen moved to Sheffield Wednesday after his release by Nottingham Forest in 2017, and made his senior debut under Jos Luhukay just a few months later.
The 21-year-old Danish youth international went on to make a further five appearances in Wednesday colours, including two in this season’s EFL Cup.
However, he failed to make a single matchday squad following Luhukay’s departure shortly before Christmas.
Sheffield Wednesday hope to keep out of contract trio Keiren Westwood, Liam Palmer and Kieran Lee.
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