The main goal of this work is to perform a detailed study of the optical variability of the Be/X-ray binary SAX J2239.3+6116. We obtained multi-colour BVRI photometry and polarimetry and 4000-7000 A spectroscopy. The optical counterpart to SAX J2239.3+6116 is a V=14.8 B0Ve star located at a distance of ~4.9 kpc. The interstellar reddening in the direction of the source is E(B-V)=1.70 mag. The monitoring of the Halpha line reveals a slow long-term decline of its equivalent width since 2001. The line profile is characterized by a stable double-peak profile with no indication of large-scale distortions. Although somewhat higher than predicted by the models, the optical polarization is consistent with electron scattering in the circumstellar disk. We attribute the long-term decrease in the intensity of the Halpha line to the dissipation of the circumstellar disk of the Be star. The longer variability timescales observed in SAX J2239.3+6116 compared to other Be/X-ray binaries may be explained by the wide orbit of the system.