Manuel da Costa had requested to leave the club following our relegation from the Premier League.
Da Costa signed for the Hammers from Fiorentina in September 2009 and made 35 appearances, scoring four goals, in his two seasons in the capital, with one year remaining on his contract.
From the official website "The club, who have already signed Abdoulaye Faye and Kevin Nolan as part of a busy summer of transfer activity, would like to thank Manuel for his efforts and wish him all the best in the future."
Da Costa will link up for former team-mate Victor Obinna, who spent last season on loan with the Hammers, after he completed a switch from Inter Milan to Lokomotiv only a couple of days ago.