Diageo is now considering its options for the brand.
According to sources, it is considering spending more of its budget on direct marketing.
Grey picked up the £10m brief to launch Captain Morgan's Original Spice in the UK in 2003, seeing off the Diageo roster agencies Bartle Bogle Hegarty and JWT.
The win marked the first time the London office had worked for Diageo, which had previously worked with Grey Worldwide in New York. The Captain Morgan brand will continue to be handled by Grey in its other markets.
A Diageo spokeswoman said: "Grey London is not a retained agency. Because there is no advertising, there is no role for it at the present time."
Last year, Grey launched a print campaign for Morgan's Spiced Rum using the line: "Enjoy the contradiction." It aimed to increase the number of 21- to 30-year-old men and women consuming the drink.
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