New Mexico has three regular-season games remaining, starting Saturday at Utah, followed by the Mountain West tournament.
"Please don't be sad for me. It's just the close of a chapter," McKay said at a news conference. "I don't have any animosity toward Paul (Krebs, the athletic director) or the administration. If it's best they make a change. I'm going to support it and continue to root for the Lobos."
New Mexico is 15-13 this season and 4-9 in the conference. McKay has a record of 82-65 in five seasons, including an 8-41 mark on the road. He is 165-154 in an 11-year coaching career that included earlier stops at Portland State, Colorado State and Oregon State.
Attendance also has declined during McKay's tenure at a school that traditionally ranked among the top teams nationally and was known for its ardent fan support.
Krebs said he and McKay had been discussing the move for several weeks
"The intention all along was to make a decision at the end of the year, but there's a point when you realize a decision needs to be made sooner rather than later," Krebs said. "It allows us to begin to move forward to find the next coach."
New Mexico's 81-74 overtime loss to visiting San Diego State on Tuesday was the Lobos' fourth conference home-court loss this season _ the first time that's happened since the 1980-81 season.
New Mexico opened the season with five straight wins, but back-to-back lopsided losses at UTEP and New Mexico State in December started a season-long slump.
Senior center Aaron Johnson and guard Ryan Kersten rallied behind their now lame duck coach.
"You're losing a great man, not just a coach," said Johnson, who left Penn State after his junior season to join the Lobos. "He's brought us together and made us better men. He's preparing us for life."
Kersten, a junior guard from Australia, said he planned to return next season, but lamented McKay's leaving.
"He's the type of coach I'd want to play for the rest of my career,' Kersten said.
McKay led the Lobos to the NCAA tournament two years ago, earning a contract extension through 2010. That team was led by Indiana Pacers forward Danny Granger, who had transferred to New Mexico from Bradley.
But over his five years in Albuquerque, McKay failed to reach the bar that Krebs and Lobo fans have set for the highest profile sports program in the state.
Those expectations, Krebs said, include finishing in the top three in the Mountain West Conference on a consistent basis; going undefeated at home and .500 on the road and selling out The Pit."
"The goal should be to get into the Top 25," Krebs said. "We want to make the NCAA tournament. High expectations are a good thing."