Jackett only took over on 21 October, but has handed in his resignation today, Monday.
The former Swansea City and Wolverhampton Wanderers manager was in charge for just five games, drawing one and losing four.
The club said that they were "shocked" and "disappointed" with his decision to leave the Millers.
"Following the game against Leeds United at the weekend, Kenny Jackett tendered his resignation and accordingly, his employment with the Club has terminated with immediate effect.
"Kenny's resignation came as a shock to the Club and is disappointing. The Club will now focus on making appropriate arrangements for the first team.
"Paul Warne has agreed to take care of first team matters on an interim basis whilst the Board of Directors begin the process of appointing a new first team manager".