The three-time All-Star signed a three-year, $52-million contract with the Rockies during free agency in December 2017. He had a $15-million mutual option for 2021.
Davis had a 20.77 ERA with two saves over five appearances this season. The 35-year-old accrued a 6.94 ERA over three campaigns with Colorado.
The right-hander was one of the most dominant relievers in baseball from 2014-17. He posted a combined 1.45 ERA with a 7.7 fWAR while pitching for the Kansas City Royals and Chicago Cubs.