The 34-year-old scored two goals in six competitive games for Lyngby.
Now Lyngby announces on its official website that the attacking midfielder is leaving.
"I really appreciate that Lyngby Boldklub gave me the chance to return to football, and I will always be very grateful for that," he told their website.
"It means a lot to me and I will always remember the reception I received from the Lyngby fans during my first home game. I wish the club all the best in the future."
Lyngby's sporting director Nicas Kjeldsen said: "Gylfi came to the club after a long break, and of course we had hoped that together we could find a way back to his previous level.
"Unfortunately, it has turned out to be too long, so he now has to do something else. Gylfi has been a good acquaintance, the breakup happens without any kind of drama, and we wish him all the best in the future."
Valur have announced today they've signed Sigurdsson, now 34.