The want away frontman, who only joined in the summer on a free from Brentford, has completed a deal worth in the region of £110,000.
The club have also confirmed that they are actively seeking a replacement for Burton, who received a mixture of cheers and boo's during his last home fixture against Huddersfield Town. The Jamaican International pulled on a Millers shirt 27 times, netting on 14 occasions.
Chairman Peter Ruchneiwicz told the official site: "Whilst we are obviously sorry to lose our leading scorer, we do not feel we can stand in the way of players who clearly want to be elsewhere. Everyone knows that we are in a difficult financial situation and we have to look at reasonable offers for our players. Wednesday originally offered us an amount which fell well short of our valuation. Then, as everyone now knows, Deon submitted a written transer request which we reluctantly agreed to accept.
"We have now negotiated a good deal for the club which gives us £110,000 up front. We are actively seeking a replacement for Deon and shortly hope to have some positive news about a replacement."