When we leave UK, we need to fill in the SA109 or P85. When we leave US, do we need to fill in something similar to let IRS know?

I’m pretty sure your next tax return is sufficient notice to the IRS, since you’ll have your new, foreign, address on it.

That's all we did, no special form when we left.

thanks, guys

The UK needs a SA109 / P85 because most people are PAYE and never file a tax return and also because tax is on the remittance basis so foreign income can be excluded in some cases, the US does not need that because basically everyone US person has to file an annual tax return irrespective of where they live and advise their residence on the form, although at a federal r level unless you qualify for the FEIE it does not really make a difference anyway.