Toys “R” Us Inc. told employees Wednesday the struggling big-box retailer will sell or close all its U.S. stores, a collapse that threatens up to 33,000 American jobs in the coming months.

The 70-year-old chain, which filed for bankruptcy protection in September, has more than 700 remaining U.S. locations, including Babies “R” Us stores. It would be one of the biggest retail liquidations since Sports Authority filed for bankruptcy in 2016 with 14,500 workers and closed more than 460 stores.

Chief Executive David Brandon delivered the company’s fate to workers at its Wayne, N.J., headquarters. The company filed liquidation papers Wednesday evening in advance of a bankruptcy court hearing on Thursday.

“I have always believed that this brand and this business should exist in the U.S.,” Mr. Brandon said on a follow-up conference call with staff, adding that he guarantees that vendors who failed to support the retailer during the holidays, customers who shopped elsewhere and media who chronicled the chain’s downfall will miss the retailer.

“The constituencies who have been beating us up for months will all live to regret what’s happening here,” Mr. Brandon said.