35-year-old Kjær has been without a contract since last summer when his agreement with Italian Milan expired.
It was the right time to end this chapter, he says in an interview with Danish TV 2.
Defender Kjær made his debut for the Danish national team in 2009 against Sweden, he became team captain in 2016 and made a total of 132 international appearances during his career.
At the European Championship 2020, he was hailed for his intervention when teammate Christian Eriksen collapsed on the football pitch with suspected cardiac arrest. At club level, he represented a number of clubs, in addition to Milan at the end of his career, including among others Sevilla, French Lille and Turkish Fenerbahçe.