He issued a statement that also said he was not on the same page with the organization.
"For the past three years, I have carried out my duties as head coach and vice president of hockey operations for the Colorado Avalanche with energy, passion and determination," Roy said in the statement.
"I have thought long and hard over the course of the summer about how I might improve this team to give it the depth it needs and bring it to a higher level. To achieve this, the vision of the coach and VP-hockey operations needs to be perfectly aligned with that of the organization. He must also have a say in the decisions that impact the team's performance. These conditions are not currently met.
Roy, who played 478 games and won two Stanley Cups with the Avalanche, has coached the team for three seasons. He was named coach of the year his first season, 2013-14, after leading Colorado to 112 points and a first-place finish. But the Avs lost that year in the first round of the playoffs to the Wild and have not returned to the postseason since.
Roy was critical of some of his players last year, blasting forward Matt Duchene for his exuberant celebration of his 30th goal in a 5-1 loss.
But Roy told ESPN's Pierre LeBrun on Thursday that he still has a ton of respect for former teammate and current Avalanche general manager Joe Sakic, as well as Avs players and the organization. He said that philosophical differences made him want to walk away now before the situation deteriorated.
Sources told ESPN's Joe McDonald that Roy informed his staff that he was resigning this afternoon, and they were shocked.
Roy, 50, said that he didn't know what his future would hold.
Sakic issued a statement later Thursday.
"Patrick informed me of his decision today," he said. "We appreciate all he has done for our organization and wish him the best of luck in the future."
He added that the Avalanche "will begin the search for a new head coach immediately."
An 11-time All-Star goalie, Roy was inducted into the Hall of Fame in 2006. In addition to winning two Stanley Cups with the Avalanche, he won two with the Montreal Canadiens.
His abrupt departure from the Avalanche is reminiscent of his exit from Montreal in 1995. After coach Mario Tremblay kept him in a game in which he allowed nine goals on 26 shots, Roy stormed off and told team president Ronald Corey, "It's my last game in Montreal."
Roy said he believed he was kept in the game to be humiliated, was suspended and then traded to the Avalanche.
Information from The Associated Press was used in this report.