Simon Webbe, Lee Ryan, Antony Costa and Duncan James parted ways with the label following the release of their recent album Colours.
Blue signed a two-album deal last November, but they will now continue with their music without Sony.
A statement said "Blue and Sony remain on good terms", while next year the band will celebrate 15 years together.
In a lengthy Facebook post, Blue also said: "It's hard to believe but after fourteen years, five studio albums, sixteen million sold albums and over 40 #1's worldwide we still love doing what we do. In the past three years alone we have done over two hundred performances in 23 countries worldwide, performing to three quarters of a million people. The feeling doesn't get any better. This is what we do and we couldn't do it without you.
"When the Colours of Blue Tour ends in the UK, we start again in Asia and then in Europe. And to everyone that supports us worldwide we are forever grateful."
The band hit out at "haters" following their departure from the label, adding: "We are going to keep on doing what we love for everyone that enjoys Blue and what we stand for, our music.
"We don't need to prove who we are, or ask permission to be here. We love Sony Music who have supported us and licensed the album for the UK and supported us on tour and we look forward to the rest of this year and the next as we move into 'Fifteen Years of Blue'."
For exclusive competitions and amazing prizes visit Reveal's Facebook page NOW!