"Management and the supervisory board are in discussions with representatives of the current main sponsor, further information will be published in due course," Schalke said on Twitter.
The decision does not affect the club's financial capabilities. Schalke, who play in the German second tier following relegation in the 2020-21 season, added in a statement.
The club had already said on Thursday they were removing the logo of Gazprom from their jerseys.
Gazprom's UEFA Champions League sponsorship status is also in the balance.
Earlier last week, European governing body UEFA moved this year's Champions League final to Paris from Saint Petersburg where it was scheduled to be played at Gazprom Arena, home to Russian Premier League side FC Zenit.
Russia's gas giant, who sponsored Schalke since 2007, has been also announced as one of the sponsors for the next European Championship, to be played in 2024 in Germany.