His departure will end a seven year association with the club and he has been head coach since 2008, when he took over from Declan Kidney.
McGahan was aiming for back-to-back titles but those hopes were dashed by Steve Tandy's Ospreys as they ran in five tries and fly-half Dan Biggar kicked 20 points.
Kahn Fotuali'i, Hanno Dirksen, Rhys Webb, Biggar and Andrew Bishop grabbed the tries for the home side who will face either Leinster or Glasgow in the final in a fortnight's time.
McGahan admitted the Welsh outfit's precision and ruthlessness had impressed him.
"I thought the Ospreys were tremendous," McGahan told walesonline.
"They turned the ball over from us, their set-piece was exemplary and their attack superb.
"Without a doubt it was the best performance I have seen from the Ospreys in my time in Europe.
"It was complete, right across the paddock. It was a very polished display from a very good side."
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