Which preposition should I use here?

Consider the following sentence:
"I am disappointed that you are leaving".

Now I would like to let another person know the fact:
"I would like to let you know that Mark is leaving which I am disappointed about."

This seems about right, but grammatically it looks correct that you don't use "about" at all.

So is it correct to use "about" (or "at") here, or no preposition at all?

Answer

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.