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The 27-year-old has been prolific since moving to Russia in August 2010, scoring 83 goals in 129 appearances.
Doumbia was the Russian Premier League's top scorer in 2011-12 and 2013-14, having also won two league titles and two Russian Cups in his time at the Stadion Luzhniki.
That has prompted the Roma to part with a considerable sum for his services as they go about looking to reel in Juventus at the top of Serie A.
CSKA said in a statement: "PFC CSKA thanks Seydou for his contribution in the successes of the team in the past years and wishes all the best in his future career!"
