Hefney was in his fifth season with the Bombers and was the focus of attention after he was charged with marijuana possession May 31 at home in South Carolina.
General manager Joe Mack didn't seem overly bothered by that and said it was more important how Hefney performed on the field.
But the Bomber veterans on the secondary didn't impress coach Tim Burke in Wednesday's 24-6 exhibition loss to the Toronto Argonauts, and the axe fell Saturday.
Hefney was a two-time CFL all-star.
"We would like to thank Jonathan for his contributions to the Winnipeg football club over the past several seasons," said Mack in a statement.
"Jonathan always played the game with heart and we wish him well in his future endeavours as we look to the emergence of our young talented crop of defensive backs that we have in camp."
Hefney signed with the team in 2009 and was named the CFL East's rookie of the year that season.
He finishes with a record of 241 tackles, two sacks, 13 interceptions and six fumble recoveries, although he missed most of the 2010 season after signing with the Detroit Lions in the off-season.