Employment Law Questions? Ask an Employment Lawyer.
The EEOC Investigation will continue, and you will be given a "right to sue" letter if the EEOC is not able to resolve your complaint.
However, do let the EEOC know that you are quitting your job. It will affect your right to recovery of certain items that the EEOC would ask for you to receive if you were still employed. The EEOC may also want you to get information for them before you leave your job, or as part of your termination.
Here are some of the things that the EEOC may be able to get for you:
If you quit, you would have a hard time getting reinstatement or owed promotions; that's usually something that people who are fired would get.