The 36-year-old played for Italy 42 times and scored 11 goals before quitting international football after the 2012 European Championship.
"I've already made the decision, I've talked about it with my family and my agent," Di Natale told Sky Sports Italia after Udinese's 3-1 home defeat by Verona on Monday.
"The club will know soon but I'll stop playing in June."
Di Natale, who started his career at Empoli and joined Udinese in 2004, twice finished as Serie A's leading scorer.
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