Both contracts are due to expire at the end of June.
Some sources say the car manufacturer will, however, continue to sponsor the German Cup, which it began doing in 2012.
"Volkswagen will not extend its contracts with Schalke 04 and Munich 1860 at the end of the current season," a company spokesman told AFP.
Since last September, the Volkswagen Group has been embroiled in an emissions scandal after deliberately trying to circumvent Clean Air Act regulations in the United States.