"I asked for my release and I got it," Penny said, according to the Boston Herald.
Penny (7-8) was 1-6 in his past 11 starts and has a 5.61 ERA. He will be placed on waivers Thursday, according to the Herald, and will clear on Monday. He can talk to other interested teams while he is on waivers.
"I had some bad breaks and made some bad pitches," Penny said, according to the newspaper. "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.
"All in all I had a great time here. My shoulder is healthy and I'm glad I came here. It was a blessing."
Penny signed a one-year contract worth $5 million last offseason with the Red Sox.