If it isn't charging you insane expense ratios or other management fees and you like the current investments you hold in the 401k, you can just leave it "as is" - that is, leave it as a 401k and ignore it for a while until you figure out if having an old 401k is working for you (it can be just fine).
BUT if they do not have good funds, they are high cost or will otherwise charge you anything to continue to have the account there, then just roll it to someplace like Vanguard or Fidelity as a rollover IRA (this is technically just a highflautin' name for a traditional IRA that originally was a work sponsored account like a 401k/403b etc...)
You may have to sell off the funds first before transfer, or they might allow you to transfer "in kind" and then sell them off. You'll need to check about selling fees before you move vs. after since it is possible they'll hit you with sell fees one way or the other. And there will likely be a transfer or closing account fee (or both) assessed. Usually around $75-$100, but well worth it if the actual yearly fees and expense ratios are high.
You can contact Vanguard or Fido for the instructions on how to do this, but it's basically: fill out paperwork. send in paperwork. wait weeks. transfer happens eventually. sell off crummy stuff and buy cheap expense ratio index funds.