You can surely ditch the about, but if you leave it at that then the relative pronoun which winds up doing duty as a coordinating conjunction, which is not among its proper grammatical functions. So you need to go further, replacing which with a valid coordinating conjunction such as so or and, or just with a period:
I would like to let you know that Mark is leaving, and I am disappointed.
I would like to let you know that Mark is leaving. I am disappointed.
As to your original version, ending a sentence with a preposition (and about and at are both appropriate choices here) does not violate any truly valid rule, despite old-fashioned teachings to the contrary; but it often wastes the emphasis that naturally attends upon the last word of a sentence. So you may wish to experiment with other variations:
I would like to let you know that Mark is leaving, much to my disappointment.