The Rangers had put him on waivers on Tuesday. According to a source,
Avery left the team in Europe and was heading back to his home in New York City.
Agent Pat Morris said Wednesday that Avery has already garnered interest from some European teams, but that they would wait to see what the Rangers planned.
"It's a mutuality," Morris told ESPNNewYork.com's Katie Strang. "Sean's open to playing wherever the Rangers want him to play, whether that's down in Hartford or over in Europe."
Avery was in the last year of a contract that pays him $4 million, although his salary-cap hit is only $1.93 million because the Dallas Stars, his former team, are still on the hook after he was claimed on re-entry waivers by the Rangers in 2008-09.
The news of his release comes after Avery was a healthy scratch in two straight games.
Coach John Tortorella indicated Saturday that the training camp battle for the Rangers' 13th forward spot was between Avery and center Erik Christensen.
Christensen was in the lineup for the team's next two preseason games -- Sunday against HC Slovan and Monday against EV Zug -- while Avery was scratched.
"I think we have better players than Sean Avery -- plain and simple," Rangers coach John Tortorella said Tuesday. "I can dodge it 10 different ways without trying to run Sean over. I thought he had a good camp.
"But I think with the makeup of our team, and some of the people we've added, and some of the youth we've added as far as depth put Sean in this spot."
Earlier this preseason, Avery, 31, found himself at the center of another controversy when he said that Flyers' forward Wayne Simmonds called him an anti-gay slur.
Simmonds denied making the derogatory statement and was not disciplined by the league.
Pierre LeBrun covers the NHL for ESPN.com. Katie Strang covers the NHL for ESPNNewYork.com. Information from The Associated Press was used in this report.