Josh King, Yannick Bolasie and Muhamed Besic are also out of contract.
The Toffees have announced that the 32-year-old striker, who arrived in a £20million switch from Arsenal in January 2018 and made 23 appearances for first club Southampton on loan last season, is to leave Goodison Park.
He will be joined by Norway international Josh King who signed a short-term deal in January, Yannick Bolasie and Muhamed Besic while on-loan keeper Robin Olsen will return to parent club Roma.
An Everton statement said: “Everton can confirm Joshua King, Theo Walcott, Yannick Bolasie and Muhamed Besic will leave the club when their current contracts expire at the end of the month, while on-loan goalkeeper Robin Olsen will return to his parent club Roma.
“Everton wishes to thank all departing players for their contribution throughout their time at the club.”
In all, Walcott made 85 appearances for the club and scored 11 goals, while King came off the bench on 11 occasions, but did not manage to score.
Bolasie, a £25million signing from Crystal Palace in August 2016, had a series of loan spells away from Merseyside after struggling to force his way into the team, with Sky Bet Championship Middlesbrough his most recent destination, while Bosnia and Herzegovina international Besic had two spells on Teesside and spent the 2019-20 season at Sheffield United.