I'm told that you can transfer your work visa from one company to another if your current employer signs a letter of no objection. Then all is fine. If they do not, and they cancel your visa, you must leave Qatar, and cannot return for two years. Normally the rule is that you have to be with your current employer/sponsor for at least a year before transferring/cancelling. I'm not sure if they're are different rules for different nationalities.

I'm not an expert, so someone correct me if I'm wrong.