Coleman, who succeeded Gary Speed as Wales manager in 2012, is the country's most successful coach, having led them to the semi-final stage of the Euros previous year.
After over five years in charge of the Wales national team, 47-year-old manager Chris Coleman has announced his resignation, according to a statement published by the Football Association of Wales.
Football Association of Wales chief executive Jonathan Ford said: "We are extremely disappointed to see Chris' tenure as Wales manager come to an end". However, he failed to help the Dragons qualify for the next summer's World Cup in Russian Federation.
However, he was unable to guide them to next year's World Cup as they missed out on qualification from Europe's Group D last month.
Ahead of Saturday's clash with Millwall, for which caretaker boss Robbie Stockdale will be in charge, Sunderland have not won a home league game since December a year ago.
Chris Coleman leaves Wales role for Sunderland job
Former Wales head coach Chris Coleman is reportedly on Sunderland's radar.
He added: "We wish Chris the very best of luck for the future as he returns to club management, a desire for which he has always been honest and open about".
They have sacked their manager Simon Grayson in October and the Welshman is expected to replace the former at the Stadium of Light.
It was reported that O'Neill had been approached by Sunderland to take over at the same time the Scottish FA asked permission to speak to the Northern Ireland boss, however club sources are adamant that was not the case.