He told reporters that polls suggest he would be the strongest candidate in the general election, but he feared that running would further divide the Republican Party in his home state.
"This has been the nastiest race that we have had for a party nomination in the history of Utah for a state-run office," Bennett said.
Earlier this month, Bennett lost his bid for a fourth term as GOP delegates at the state convention, led by tea party activists, rejected his candidacy.
Two Republicans - Mike Lee and Tim Bridgewater - advanced to a June 22 primary.
Bennett said constituents and colleagues have urged him to continue the race as a write-in candidate. However, GOP leaders publicly urged him not to do so.
"It's been an interesting decision to have to make because the outpouring of support and urging that I do run a write-in-campaign has been very strong," Bennett said.
Bennett, 76, issued a statement at the National Republican Senatorial Committee's headquarters and declined to take questions. He also said he has yet to decide what he will do after finishing out his third term. He also is not ready to make any endorsement in the GOP primary.
"It's been a wonderful ride," Bennett said.
Utah GOP Chairman Dave Hansen said he believes Bennett made the right decision because it would help ensure that the GOP's candidate prevailed in November.
"A write-in campaign for a statewide office would be very difficult to do and it would probably be unsuccessful in the end, and the worst that it could do is split the vote so that a Democrat could win the seat," Hansen said.