Gennaro Gattuso making a point as Valencia lost to Real Madrid in the Spanish Super Cup semi-finals. AFP
The club said that the two sides "have decided by mutual agreement to terminate the contractual relationship".
After losing 1-0 to Valladolid on Sunday, Valencia are 14th in La Liga, one point above the relegation places.
"It is clear that I am responsible for this," Gattuso said on Sunday after the defeat.
Spanish media said that Gattuso had been frustrated by the lack of transfer activity by the club and met with club's top management on Monday.
Gattuso, a defensive midfielder who played 73 times for Italy, first became a head coach in 2013 with Sion in Switzerland.
He managed former club AC Milan for two seasons from 2015 to 2017, coached Napoli from December 2019 to May 2021. His only trophy as a manager is the Coppa Italia in 2020.
He agreed to join Fiorentina in the summer of 2021 but quit before starting his contract after a dispute over the club's transfer policy.
Gattuso took over at Valencia in June, replacing Jose Bordalas who had led the club to a ninth-place finish and the Copa del Rey final.
Valencia said that long-time coach Voro, who has been caretaker or interim boss at the club on six occasions, would be in charge when the squad resumed training on Tuesday.
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