Secretary of State Rex Tillerson "has reluctantly accepted his decision and wished him well", she added.
Some argue that Yun's retirement reflects pent-up frustration in American diplomatic circles as the State Department loses influence under the current administration.
Yun, a strong proponent of talks, is one of only a handful of American officials to have been in direct contact with North Korean officials and to have visited the North in recent years.
"We have a deep bench of very experienced people", she added, citing acting Assistant Secretary Susan Thornton, the top official for East Asia affairs, and several other diplomats. It follows another highly respected North Korea expert, Victor Cha, George W. Bush's top North Korea representative, not becoming, to the surprise of many, the U.S. ambassador to South Korea last month.
In another reference to the risk of war, Mr Trump said on Monday: "We're talking about tremendous potential loss of lives, numbers that nobody's even contemplated, never thought of".
The administration of Prime Minister Shinzo Abe has repeatedly said that no meaningful dialogue can be held with the North until it takes concrete steps toward scrapping its nuclear arms program.
Last year, then Foreign Minister Yun Byung-se said North Korea "has turned into a massive gulag with unrelenting surveillance". And we want to talk also, only under the right conditions.
The administration still lacks an ambassador to South Korea more than a year into Trump's term. He has been instrumental in crafting US policy on the Korean peninsula since his appointment by President Barack Obama in 2016 and helped secure the release of gravely ill American student Otto Warmbier past year.
Earlier in February, Yun was in South Korea and Japan to speak with officials about North Korea.
In September 2017, the United States proposed as an additional sanction against North Korea the ability to forcibly board ships suspected of providing products to North Korea.
North Korea's chief delegate to the closing ceremony, Kim Yong Chol, had indicated a renewed willingness for talks, Moon said, although it remains unclear whether denuclearization would be on the agenda.
At that time, the United States was attempting to set up a meeting between Vice President Mike Pence and Kim Yo Jong, North Korean leader Kim Jong Un's younger sister, while both were visiting South Korea for the Pyeongchang Games. His last day is Friday. Under U.S. leadership, the Un Security Council unanimously passed toughest ever sanctions on North Korea which would see their export revenues decline by nearly a third.
He warned if the latest sanctions do not work, "we will have to go to phase two".