Day, who offered little explanation for her departure, will remain as CEO while the board searches for a replacement to direct the next chapter in the company's development, recently hindered by a highly publicized recall of see-through pants.
"The plans have been laid for the next five years and a vision for the next 10," Day said in a conference call with analysts after market close on Monday.
"I feel that the timing is now right to bring in the next CEO candidate who will drive that 10-year vision. The board has formed a search committee and is executing its CEO succession plan."
The transition comes as the retailer, which reports in U.S. dollars, posted a first-quarter profit of $47.3 million or 32 cents per share.
The results came in above analyst expectations of 29 cents per share, according to a poll of analysts by Thomson Reuters, but marked only a slight increase in profits from a year ago when it earned $47 million, also 32 cents per share.
Revenue strengthened 21 per cent to US$345.8 million from US$285.7 million.
Despite the improved results, Lululemon is still struggling to overcome the recall earlier this year that saw the company pull about 17 per cent of its black Luon yoga pants from store shelves for being too sheer.
The move forced the company to cut its financial guidance for the year, though it was able to get the product back into stores within 90 days.
Lululemon blamed the sheerness on a style change and production problems and hired a new team to oversee the making of the pants. Around the same time, chief product officer Sheree Waterson departed the company though specific reasons for Waterson's departure were not disclosed.
Still, a number of questions from analysts centred on the longer-term impact of the recall and lessons the company has learned from the fallout.
Day offered an opinion that perhaps the company wasn't involved enough in the manufacturing of the pants at factories overseas.
"If there were 10 technical specs, we were probably controlling four," she said.
"So we had to become our own expert in-depth in all of the technical specs, not just relying on our factory partners for some of them."
She said the changes have improved its quality control tests and supply chain.
"Taking risks means we’ll make a few mistakes along the way, but it’s part of our DNA," she added.
Day was less forthcoming about her reasons to leave Lululemon at this time.
"This was a personal decision of mine," she said. "And look, it's never a perfect time to leave a company that you love. I've had a great run at Lululemon over the past five and a half years."
Day notified the board of her leaving on Friday and she said that a search committee was put in place over the weekend.
Aside from its challenges, Lululemon has moved forward with expansion plans in London, Berlin, Singapore and an online store in New Zealand. This year, the company hopes to launch three showrooms in China.
The company also boosted its full-year outlook, with expectations of earnings per share of $1.96 to $2.01, an increase from $1.95 to $1.99. Revenue is targeted to be in the range of $1.645 billion to $1.665 billion, an increase from $1.615 billion to $1.640 billion.
Lululemon will delist from the Toronto Stock Exchange later this month due to "minimal trading volume of its shares." Lululemon is also listed on the Nasdaq market.
Lululemon aims to remove its shares from the TSX on June 24, saying that the low trading volume "no longer justifies the expenses and administrative efforts associated with maintaining" a dual listing on both the Canadian stock exchange as well as the Nasdaq.
Shares of the company were down 13 per cent to $71.22 in after hours trading at 6 p.m. ET in New York.