It is the latest in a series of high-profile departures from President Trump's team.
In a statement released by the white house, Mr Cohn said it had been "an honour to serve my country".
There has been speculation that Mr Cohn, a supporter of free trade, was angered by Trump’s plans to impose tariffs on aluminum and steel imports.
Mr Cohn, a former president of the Goldman Sachs bank, helped Donald Trump push through his sweeping reforms on taxes late last year. APP/AFP