"These will be my final qualifiers. I informed the federation yesterday that I didn't wish to prolong my contract [after 2012]," he said.
Former Denmark captain Olsen, 61, took over as coach after EURO 2000 on a two-year contract, before extending until 2006, then 2010 and finally 2012.
Under his guidance Denmark qualified for the 2002 and 2010 FIFA World Cups™ as well as reaching the EURO 2004 quarter-finals.
Denmark are currently third in qualifying for EURO 2012 behind Norway and Portugal.
Olsen was capped 102 times during his 19-year career as an international defender.