The 34-year-old made the announcement through Twitter on Tuesday.
Bagg recorded 4,705 yards and 24 touchdowns on 364 catches in 143 CFL games.
“To my brothers, every single player that put on the green and white in the last 11 years, thank you,” Bagg said in his Twitter post.
“To me, there has been few better feelings than knowing I had your back and you had mine. It truly was an honour to take the field with you and I will always consider you family.”
WATCH: (August 2018) Receiver Rob Bragg speaks on return to Riders
Bagg spent his college career at Queen’s University in Kingston, Ont. and went undrafted in 2007.
In 2008, Bagg made the Roughriders out of training camp.
Bagg said in his post that he will begin a career in real estate in Kingston.