Quitting Big 4 early to pursue MSF?

I've been working in a fin services-related role at a US Big 4 firm for a couple months now. Recently I got accepted to a top MSF program in EU, and I'm definitely going to take it. However, this means that I have to quit my job in a few months, and I really don't want to burn bridges. How should I go about doing this? Putting in my two weeks notice before leaving for the MSF? Telling them I'm pursuing higher education instead? Any advice would be really helpful.

Also, will I end up pissing off my coworkers and superiors regardless of how I go about doing this? I'd rather not burn bridges, but then again this is at-will employment and they could fire me at any point in time.