If therapy isn't working for you, you can end your sessions with variations of this apologetic goodbye letter.
Dear Dr. {Recipient},
I am sorry to say that I will no longer be attending therapy with you and that {date} will be my last session.
You have been very attentive and professional over the past {amount of time} but I don't think that this avenue is the best resource for me at this time. I can't justify the time and money that I am spending because it is my belief that the problem I was hoping to work on is not truly being addressed.
I do appreciate your time and your services, and I wish you luck with your future clients. Please do not take this personally, as I believe that another avenue such as {sports/meditation/yoga/church} would be a better outlet for my particular issue.
Thank you for your understanding.
Sincerely,
{Sender}