The former Labour deputy leader lost his seat in October's election, but was elected due to a high party list ranking.
"I'm not the future of the Parliamentary Labour Party any more so I'm stepping aside to let others come in," he told NZ media outlet Newsroom.
Labour colleague Ginny Anderson told Newshub that she understood Mr Davis, 56, was moving to Australia.
"It's got an involvement in terms of indigenous and treaty (issues), similar work he's been doing in New Zealand, but in Australia for aboriginal (communities)," she said.
Mr Davis was Maori-Crown Relations and Corrections Minister under Jacinda Ardern's Labour government for the last six years.
He has also held the tourism, children and associate education portfolios.
The former teacher and principal represented the Northland-based Maori electorate of Te Tai Tokerau for nine years but lost in 2023, as the Maori Party swept six of the seven Maori seats.
During the election campaign he pledged to leave politics if he lost the electorate, which he will do on New Zealand's national day, Waitangi Day, on February 6.
The day promises to be a major flashpoint.
Many Maori have protested the new government's promised new approach to Maori issues, including a review of how the Treaty of Waitangi affects laws.
Mr Davis will be among procession of politicians are expected at the Waitangi Treaty Grounds, where the treaty was signed in 1840, and says he doesn't want to see it become a circus.
"I hope Waitangi isn't a shambles because all the hard work we've done over the past six years will have just gone to waste," he told Newsroom.
"The dignity of (local tribe) Ngapuhi I'm worried is at stake this time if politicians make it go pear-shaped."
In recent years, Ms Ardern and her government would spend the morning of Waitangi Day cooking a free breakfast for Kiwis who travelled to the treaty grounds.
The Waitangi National Trust cancelled that ritual due to growing security concerns this year.
13°C