The 32-year-old has been out of a club since last summer, when he was released by Celtic.
He told Ekstra Bladet: “I have had 12 fantastic years abroad and played in four great countries.
“It has given me incredible experiences that I am grateful for. There are many people I would like to thank.
“If I could, I would do it all over again. But I am turning 33 in March, and therefore it is correct for me to finish now.”
Gravesen’s spokesman, John Sivebaek, added: “It is of cause sad when such a good player ends his career, and I would have loved to see Thomas Gravesen continue for some more years.
“But I hope that people will respect his decision.”
