Davis said: "I am ambitious and it's no secret that one day I would like to consider a managerial position.
"But in the meantime, an opportunity has arisen that I feel can lead me down that road and I feel it is the time to make the leap.
"I thoroughly enjoyed my year with Blackpool, I have made some good mates at the club and I wish them well for next season."
Seasiders chairman, Karl Oyston said: "We had an understanding with Steve whereby if he got offered a coaching role somewhere else, then we would not stand in his way.
"He has been offered an attractive player-coach position and he leaves us with our thanks and best wishes for the future."