You're free to leave your club whenever you want. Leaving is also the first step if you want to switch to a different club, since you can only be in one at a time.
Leaving a club
You can leave your club at any time. Open your club and use the option to leave.
Switching clubs
Because you can only be in one club at a time, switching is a two-step move: leave your current club first, then join the new one. See Join a club for how joining works. If you leave and rejoin a club within a couple of weeks, your request simply refreshes rather than starting over.
What happens to your points
Your own results are unaffected — leaving a club doesn't change your individual completions or standings. What changes is that, once you leave, you no longer add to that club's event score going forward.
What it doesn't affect
Leaving a club has nothing to do with the communities whose events you've ridden. Your event registrations and results stay exactly as they are. See Clubs vs. communities for the difference.
Related: Join a club · Invitations & approving members · Clubs vs. communities