On 14 February 2016, Datsyuk became the sixth Red Wing player to reach the 900 point milestone, and the fifth Russian player to do so. Datsyuk was named the First Star of the Week for the week ending 15 February 2016. He shared the league lead with five goals and tied for second overall with seven points in four games to help lead the Red Wings to seven out of a possible eight standings points.
On 18 June 2016, Datsyuk announced that he was leaving Detroit to play in Russia, ending his 14-year career with the Red Wings. He left the Wings having won two Stanley Cups (2002 and 2008), four consecutive Lady Byng trophies (2006, 2007, 2008, and 2009), 953 games played, and 918 points. He was the last remaining member of the Wings' 2002 Stanley Cup Championship team.
On 24 June 2016, the Red Wings traded Datsyuk's contract to the Arizona Coyotes along with the 16th overall pick in the 2016 NHL Entry Draft, in exchange for the 20th overall pick, the 53rd overall pick, and Joe Vitale in order for the Red Wings to clear salary cap space.
On 8 July 2016, Datsyuk signed a two-year contract with SKA Saint Petersburg of the KHL. During the 2016–17 season, Datsyuk recorded 12 goals and 22 assists in 44 regular season games, and helped lead SKA Saint Petersburg to the Gagarin Cup in his first season back in the KHL. During the 2017–18 season, Datsyuk recorded eight goals and 27 assists in 37 regular season games. On 17 April 2018, Datsyuk signed a one-year contract extension with SKA Saint Petersburg.