Finkler, who is believed to have signed a multi-year deal, will join teammate Kosta Barbarouses at the Phoenix next A-League season after the All Whites midfielder signed a three-year deal at the Wellington-based club earlier this month.
"Gui has made the decision to take up a new opportunity at a different club, and that's the nature of the industry we're in," Victory coach Kevin Muscat said in a statement.
Finkler was last month overlooked as one of the Victory's three non-Australian players for their Asian Champions League campaign.
Muscat instead opted for Barbarouses, Besart Berisha and Matthieu Delpierre, rather than Finkler and Fahid Ben Khalfallah.
Finkler (30) has scored 20 goals in 89 matches for the Victory since making his debut four seasons ago.
He said the decision to leave Melbourne had been difficult.
"I want to thank everyone at the club and the fans for their support over the last four seasons," Finkler said.
The Brazilian said he was committed to contributing as best as he could for the Victory's three remaining games of the season.
The defending A-League champions, Melbourne Victory sit sixth on the ladder, with Wellington Phoenix ninth.
Phoenix coach Ernie Merrick was circumspect when questioned about Finkler.
"Without talking about anyone specifically, we're pretty keen to get a signing over the line," he said.
"We've learned from the Michael McGlinchey affair and the Alex Jones affair: wait until the i's are dotted and the t's are crossed before we announce it."
McGlinchey spent six months at the centre of a protracted contract dispute Central Coast Mariners and the Phoenix nearly two years ago.
English striker Jones' short-term loan deal to Wellington fell through after New Zealand Football failed to complete the online transfer process in time and world body FIFA declined to approve the move.
