The 28-year-old withdrew from a rematch with Ukrainian Wladimir Klitschko, scheduled for October 29 because of reported mental health issues.
Fury also postponed the original rematch against the Ukrainian, which was scheduled for July, after injuring an ankle in training.
Fury has been given 10 days by the World Boxing Organisation to provide detailed reasons for his second withdrawal.
"Boxing is the saddest thing I ever took part in," Fury said in a message on social networking site Twitter, adding: "I'm the greatest, and also retired."
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