Burns spent five years as a West Coast assistant coach, but the Eagles' board favoured Adam Simpson to replace John Worsfold in the top job.
Burns will link up with longtime former teammate Nathan Buckley at Collingwood, a club he played 265 games for and captained in his final season in 2008.
"I have really enjoyed my time at the Eagles and appreciate the opportunities they have given me," Burns said.
"The chance to take up this position at Collingwood was too good to pass up and I'm looking forward to the next chapter.
"I've learnt a lot from so many people at the club and I'd like to thank them and wish them well for the future."