Cosby, a 6-foot-2 sophomore from Louisville, Ky., was the Pirates' second-leading scorer this season, averaging 12.6 points per game.
"We want to thank Aaron for his two years in a Seton Hall uniform," Pirates coach Kevin Willard said in a statement released by the school. "We wish him luck in his future endeavors."
It's a significant blow for Seton Hall, which finished tied for 13th in the Big East. The Pirates were 15-18 overall, 3-15 in conference play.