Prince William's last shift was thought to have been on Tuesday.
It has been reported he could return to his regiment in London, the Household Cavalry's Blues and Royals, which would allow him to carry out more royal engagements in support of The Queen.
The duke has said the island has been a "special place" for him.
His final shift brought to an end a three-year posting on Anglesey.
In a speech at Anglesey Show in August, the duke thanked the island's people for being so welcoming to him and his wife.
"I know that I speak for Catherine when I say that I have never in my life known somewhere as beautiful and as welcoming as Anglesey," said the duke.
"I know that both of us will miss it terribly when my search and rescue tour of duty comes to an end next month and we have to move elsewhere.
"From the bottom of my heart, thank you for making my wife and me so welcome when we arrived here, as you do thousands of visitors each year."
He said the island had been their first home together and would always be an "immensely special place for us both".
"Catherine and I look forward to returning again and again over the coming years with our family," he added.
The duke graduated as a search and rescue pilot in September 2010, having started his training at Valley the previous January.
He carried out his first rescue in October 2010 during his first full operational shift.
The BBC's royal correspondent Peter Hunt tweeted that Prince William's last shift at RAF Valley was on Tuesday.
He also tweeted that it was not yet in the public domain what the duke was going to do next.
The Duke of Cambridge has completed his final shift as an RAF search and rescue pilot at Valley on Anglesey, according to BBC royal correspondent Peter Hunt.