The Scot had hoped to succeed David Letterman when he retired from his top rated CBS programme the Late Show.
But the role of host went to rival Stephen Colbert, and Ferguson, 51, who was earning more than £8 million-a-year, will leave in December.
The Springburn-born stand-up comic and actor told his audience, parodying Gwyneth Paltrow and Chris Martin's divorce statement: "CBS and I are not getting divorced, we are 'consciously uncoupling'."
Ferguson has hosted the The Late Late Show for nine years - both programmes are produced by Letterman's production company, Worldwide Pants.
The actor, who created the character Bing Hitler on British television, and who has directed three films, said: "I'll be stepping down in December. Then I'll go and do something else, probably, I'm thinking, carpentry.
"I feel doing this show for 10 years, that's enough."
He added that he had previously threatened to quit, but was persuaded to stay. "About two years ago, I had decided after eight years... that it was probably time for me to move on.
"And CBS came to me at that time and said, 'Well, you could hang around and we'll give you a fancy new studio'."
Since becoming the host of The Late Late Show in 2005, Ferguson has achieved the highest ratings since the programme started in 1995
The comedian mixed humour with serious issues, paying a moving on-screen tribute to his father after his death and also won praise for his interview with South African Nobel Peace Prize winner Desmond Tutu.
A former electrical apprentice Ferguson, who moved to New York in 1983, became a US citizen in 2008. .
Raised in a council house in Cumbernauld, he now owns a £2m stately home in Ayrshire. Three times married he has two children, the youngest under six.
But the star will not be unemployed long, he is already lined up to host Celebrity Name Game, a game show starting this autumn and is developing TV projects through his own production company.