The news was announced on the band's official Facebook page on Wednesday.
"My life with One Direction has been more than I could ever have imagined," said Malik, 22. "But, after five years, I feel like it is now the right time for me to leave the band. I'd like to apologize to the fans if I've let anyone down, but I have to do what feels right in my heart. I am leaving because I want to be a normal 22-year-old who is able to relax and have some private time out of the spotlight."
Malik went on to assure fans that there are no hard feelings between himself and the rest of One Direction. "I know I have four friends for life in Louis [Tomlinson], Liam [Payne], Harry [Styles] and Niall [Horan]," he said. "I know they will continue to be the best band in the world."
"We're really sad to see Zayn go, but we totally respect his decision and send him all our love for the future," said Malik's bandmates in a joint statement. "The past five years have been beyond amazing, we've gone through so much together, so we will always be friends. The four of us will now continue."
The statement also notes that a new album will be released by the end of this year. It will be their fifth in five years.
Malik left in the middle of the band's On the Road Again world tour on Thursday, citing stress. The news was announced following rumors that Malik had been cheating on his fiancée, Little Mix's Perrie Edwards.
However, Malik had always had trouble dealing with the "intrusion" of fame. "Pretty quickly after Zayn got into the X Factor machine he realized that he didn't actually want to be famous and he was quite happy to hide behind the other boys," a source who has been with the band since their X Factor days previously revealed to PEOPLE.
"He finds the fame more difficult to deal with than the others," said the source. "Zayn finds the fact that everyone is looking at him all the time a bit much – and he has for years. Even at the start of the band he was finding it really hard to deal with the constant intrusion."
When he left the tour, Malik's bandmates were "really worried" about him; their main concern was that he get better, another source revealed, but they didn't want him to quit. Tomlinson, who is closest to Malik, was especially worried.
Malik joined The X Factor as a solo artist in 2010 but was eliminated from the competition before Simon Cowell decided to bring back Malik, Tomlinson, Styles, Horan and Payne as a group – One Direction. The massive, worldwide success that followed couldn't have been anticipated by anyone. As a source told PEOPLE, "everything ran away from him and it all happened a little too quickly for him."