Jonathan Noble broke the news via Twitter that Rosberg confirmed his immediate plans:

Nico Rosberg has just confirmed he is leaving Williams after this weekend's Abu Dhabi GP. Will not confirm future plans yet.

We have been considering this possibility for a while now, with the general consensus being that he will head for Brawn GP. Rosberg was adament just a few days ago that he wanted to be in a winning car, and clearly he doesn't think Williams is it.