Davies leaves at the end of September after 13 years with the brewer in its various forms.
As well as overseeing a £70 million marketing budget for Molson Coors, Davies has been one of the prime movers in Project 10, the drinks industry’s response to government pressure on social responsibility issues.
Chief executive Mark Hunter said he was sorry to lose Davies, who had made a “material contribution to the business”.
He added: “Our business has never been in better shape and we are confident that it will continue to go from strength to strength.”
Davies said: “People say I’m crazy to be leaving at the top of my game to set up a business in one of the worst recessions in living memory, but I wouldn’t be doing it if there wasn’t a good reason.”