Metallurg coach Ilya Vorobyov confirmed Lee is leaving the team, according to Sport Express in Russia. Vorobyov told Sport FM that family concerns are causing Lee to seek a team "in Switzerland or overseas."
Lee (6-foot, 185 pounds) replaced injured defenseman Tyson Barrie (Colorado Avalanche) and had two assists in seven games to help Canada win the silver medal; it lost to Sweden 2-1 in the final.
"He's a great skater. He's a real power-play specialist," Canada assistant general manager Sean Burke told Sportsnet. "I don't say that in a negative way because sometimes that can conjure up an image of a guy who can't play in his own end.
"Chris has found his game later. He never had an NHL career. He came over to Europe and came into his own. He's smart and he can handle the puck."
Lee, who is left-handed, had 65 points (14 goals, 51 assists) in 60 games this season, and 21 points (one goal, 20 assists) in 18 playoff games.
After four seasons at SUNY-Potsdam from 2001-04, Lee played three seasons for the Florida Everblades of the ECHL from 2004-07. He played four seasons in the American Hockey League from 2006-10.
Lee played most recently in North America for Wilkes-Barre/Scranton, the Pittsburgh Penguins' AHL affiliate, where he had 39 points (nine goals, 30 assists) in 79 games. He played three seasons in Germany and Sweden before joining the KHL in 2013.