The Football Association of Wales released a statement on their official website, confirming Coleman's immediate departure. The statement read:
"We are extremely disappointed to see Chris' tenure as Wales manager come to an end.
"The FAW and Wales as a nation will be eternally grateful for the job he has done over the last six years as National Team Manager, from travelling the length and breadth of Wales outside of the media spotlight to talk to players and supporters, to guiding us to the semi-finals of the European Championships.
"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."
Reuters (via Eurosport) reported Coleman "is now expected" to take over at the Black Cats.
Sunderland are bottom of the Championship after winning just once in 16 games and in desperate need of fresh leadership after being relegated from the Premier League last term.