Coleman, a former Mr. Basketball in Minnesota, averaged 8.7 points, 3.6 rebounds and 1.1 steals last season, the final year for former coach Tubby Smith, who was fired in March.
Coleman will have two years of eligibility remaining if he transfers to another Division I school.
A Minneapolis native, Coleman has strong familial ties to the University of Minnesota. His uncle, Ben Coleman, played for the Gophers in the early 1980s. His brother, Dan Coleman, was a star for Smith's first Minnesota team during the 2007-08 season. Both transferred during their collegiate tenures.
Ben Coleman ended his career at Maryland. Dan Coleman started at Boston College but ultimately returned to his hometown school.
Joe Coleman seemed to blossom in Smith's system. He scored 14 points and went 7-for-11 from the field in the Gophers' win over UCLA in the second round of the NCAA tournament.
Richard Pitino's arrival, however, has fueled changes within the program's philosophy. Pitino said he wants the Gophers to run more on offense and press on defense. That style seemed to suit Coleman and other athletic wings on the roster.
Pitino recently added two new guards, 2013 recruit Daquan McNeil and junior college transfer Deandre Mathieu, to the roster. With Andre Hollins and Austin Hollins returning, Coleman's departure won't be a devastating blow for the team's backcourt.
"Joe Coleman has made the decision to leave the Golden Gopher basketball program. We wish him the very best in the future," Pitino said via a news release from the school. "We appreciate the contributions he has given the program the last two years."