He announced the decision at a press conference after addressing a rally at Pachpadra in his Barmer constituency.
He said he was yet to take a decision on whether to join the Congress or not.
At the rally, he indicated that joining the Bharatiya Janata Party was a 'big mistake'.
"Kamal ka phool, badi bhool," he said.
When contacted by PTI after the public meeting, dubbed swabhiman or self-respect rally, he said, "I am no longer in BJP."
Earlier, the MLA referred to the denial of a party ticket to his father Jaswant Singh in the 2014 Lok Sabha election.