Not only is it good etiquette to let one coven know you are leaving to join another, but the site won't let you be in two covens at once.
Make sure to leave on good terms. Don't burn any bridges.
As the others have said: You can't be in more than one coven at a time. You must let your current coven know you wish to leave and you must do it kindly and respectfully so that if you ever want to come back to your old coven, they will remeber you being nice and you will have much greater chances of getting back in that coven.