Davies, who had been on loan at League One leaders Leicester City, turned down the offer of a new contract at Wolves and handed in a transfer request at the weekend.
"As both Mick McCarthy and myself have stated, we wanted to keep Mark at Wolves and offered him a long-term contract for that purpose," Wolves' chief executive Jez Moxey told the club's official website.
"Unfortunately he has decided he would like to move elsewhere, but we would like to place on record our thanks for his efforts at Wolves and wish him all the best for the future."