Weekend reports claimed the PSL champions and Baxter had agreed to part ways amid interest in the Englishman's services from Turkey.
Amakhosi chairman Kaizer Motaung, at a press conference this morning, confirmed Baxter's successful three-year spell at Naturena has come to an end.
"I don't know what I'm doing. I'm looking for a job, yes I did visit Turkey, but for now I will go back to Sweden and have a rest," Baxter said of his plans after insisting he leaves Chiefs with fond memories and on good terms.
He added: "I won't have a problem working in South Africa in the near future."
Baxter - a two-time and the current PSL Coach of the Season - delivered two League titles, the Nedbank Cup and the MTN8 trophy in his time with the Soweto giants.
Maritzburg United boss Steve Komphela has been linked with the Glamour Boys hotseat.