Cole, 45, was handed the job in March — his first managerial role — and won one of his eight matches in charge of the Serie B outfit, who finished 11th as their play-off push faltered.
Cole wrote on Instagram that he had decided to seek a new challenge after discussions with the club's sporting director about a change in strategic direction.
"As my tenure at Cesena FC concludes today, I want to thank the players and staff for their hard work and commitment over the last few months.
"I was proud to bring my experience to such a passionate club, and I've truly enjoyed working with the squad to introduce a new identity and prepare for the season ahead.
"Following recent discussions with the Sporting Director regarding a change in the club's strategy, I have decided that it is best for me to move on. I leave with great respect for all the people there, as well as the fans, and look forward to my next challenge."
Cole has been coaching at various levels since retiring from football in 2019 with Derby County, where he ended a playing career that brought him over 700 appearances, a Champions League, Premier League title, four FA Cups, Europa League, League Cup and Community Shield at Chelsea, plus two Premier League titles and three FA Cups at Arsenal. He also had spells at AS Roma and LA Galaxy.
Since hanging up his boots, he has worked as an assistant to Frank Lampard at Everton and Chelsea, to Wayne Rooney at Birmingham City, and to Lee Carsley with the England under-21s and senior team before the Football Association brought him in as a full-time national coach. He holds 107 caps for England.