According to The Boston Herald, the veteran right-hander requested and received his release on Wednesday night, clearing the way for Thursday's arrival of newly acquired reliever Billy Wagner.
"I asked for my release and I got it," Penny told The Herald.
A two-time All-Star, Penny went 7-8 with a 5.61 ERA in 24 starts this season for Boston, the last of which was a four-inning, eight-run outing against the Yankees last Friday.
Penny expressed gratitude toward the Red Sox for signing him to a one-year, $5 million contract last offseason after an injury-plagued 2008 season with the Dodgers.
"I enjoyed playing with all of the guys," Penny said. "I played for a great manager on a great team. I had a great time. I enjoyed it. I wish things had worked out better, but that happens.
"I had some bad breaks and made some bad pitches. But I'm healthy, and that's what I'm happy about. This isn't last year, when I was hurt. If that had been the case, I'd be upset."
Scheduled to pitch in relief of Tim Wakefield on Wednesday, Penny instead watched as the knuckleballer tossed seven innings of one-run ball against the White Sox at Fenway Park.
Should he sign with another team before the end of August, the 31-year-old Penny will be eligible to appear on a postseason roster.
John Barone is an associate reporter for MLB.com. This story was not subject to the approval of Major League Baseball or its clubs.