The broadcaster's business coverage is now being shot in its Millbank and Osterley studios.
City A.M. understands Sky News's landlord activated a break clause forcing the broadcaster to leave the City of London this month.
Sky News has declined to comment or say whether it is looking for a new City location to broadcast from.
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Announcing its move to the 15th floor of the Gherkin in 2010, Sky News executive editor Chris Birkett said: "The City of London is at the heart of the UK economy, it’s where the banking crisis happened and it’s where the key players - from monetary policy makers to top executives and analysts - are based.
"The new studio will provide Sky News viewers with a visually stunning backdrop for business news, and with the launch of the HD channel in the spring, it will bring them even closer to the business stories that matter to them."