The 38-year-old has signed a three-year contract at the Allianz Arena after moving on from Turf Moor after two seasons.
His assistant Craig Bellamy has been placed in temporary charge while the club identifies a permanent replacement, with Mike Jackson his number two.
But who will get the job on a full-time basis?
Here are the current favourites, according to Skybet:
(Odds were correct at the time of writing)
![The German is currently in charge of Belgian side Union SG, where he boasts a 62 per cent win rate. Finished second in the Belgian Pro League.](https://www.burnleyexpress.net/webimg/b25lY21zOjA1Njk5MThmLTQ2ZTUtNGUxZS05MmUzLTllNjg5MDkxMjlhZjphYjIwMWVlYS04ZGJkLTQwMDQtOTlkYi1kZWUzZWNjZDMyNmI=.jpg?crop=3:2&trim=&width=640)
1. Alexander Blessin - 33/1
The German is currently in charge of Belgian side Union SG, where he boasts a 62 per cent win rate. Finished second in the Belgian Pro League.Photo: Ahmad Mora
![The former Chelsea and England left-back is currently on the coaching staff at Birmingham City, while he's also assisted Lee Carsley with England's Under-21s.](https://www.burnleyexpress.net/webimg/b25lY21zOjNmZTJhMzg5LTM4MDMtNDRjYy05YWQ4LTAyMmYyYzAwOWVhNzpmMmE0OWViMC1lNmFmLTQ4YzAtOGU3Ni05YzBiNzViOTI0OWQ=.jpg?crop=3:2&trim=&width=640)
2. Ashley Cole - 33/1
The former Chelsea and England left-back is currently on the coaching staff at Birmingham City, while he's also assisted Lee Carsley with England's Under-21s.Photo: Ashley Allen
![The Danish coach has only been at Mainz since February, where he’s enjoyed a 46 per cent win rate. Previously managed Midtjylland and FC Zurich.](https://www.burnleyexpress.net/webimg/b25lY21zOmRkN2QxMGJiLTc0ZTAtNDEzYS05YjFmLWZhNGEwOWQ2NmRmMzo3NmYxY2Y2Yy0zMGVlLTQ3NTctYmFjNi0zNDljZmYwZWU5NzM=.jpg?crop=3:2&trim=&width=640)
3. Bo Henriksen - 33/1
The Danish coach has only been at Mainz since February, where he’s enjoyed a 46 per cent win rate. Previously managed Midtjylland and FC Zurich.Photo: Selim Sudheimer
![The Arsenal legend is currently in charge of Maxime Esteve and Wilson Odobert with France’s Under-21 side. Previously managed Monaco and Montreal Impact.](https://www.burnleyexpress.net/webimg/b25lY21zOjRjZjQ4NWRhLTk4ZjYtNDliNi05YTBiLTEzYTc5MjBlMDY2MDowNDZmMjZlMC04ZmM4LTQxNzAtYjQ1ZC04ZDdlYWFmOTJiZjc=.jpg?crop=3:2&trim=&width=640)
4. Thierry Henry - 33/1
The Arsenal legend is currently in charge of Maxime Esteve and Wilson Odobert with France’s Under-21 side. Previously managed Monaco and Montreal Impact.Photo: Stuart MacFarlane