The UK will vote on whether or not to remain in the EU on Thursday 23 June, Prime Minister David Cameron has said.
Mr Goldsmith's opposition candidates, Labour's Sadiq Khan and the Lib Dems' Caroline Pidgeon, have both said they will campaign to stay in the EU.
Current London Mayor Boris Johnson has also said he will campaign to leave.
London Labour has responded to Zac Goldsmith by tweeting: "No serious candidate for Mayor of London would put the prosperity of our city at risk by voting to leave the EU".
Mr Goldsmith, the MP for Richmond Park and north Kingston, has yet to release a statement as to why he has taken this decision.
The Conservative candidate for London Mayor, Zac Goldsmith, will vote to leave the European Union, his team has confirmed.