The 37-year-old French star made the announcement Monday, two days after the Red Bulls lost the Eastern Conference final to the New England Revolution. And he said he made the decision back in 2010 to leave when his contract expired.
"I am taking this opportunity to announce that unfortunately Saturday was my last game for the New York Red Bulls," Henry said in a statement released by the team Monday. "The decision has always been that I would leave after the duration of my contract, and although that was never going to change, I didn't want it to distract from the progress of the team."
With Landon Donovan retiring after the Los Angeles Galaxy play New England in the MLS Cup final Sunday, the league is losing arguably its two biggest stars.
A former Arsenal and Barcelona standout, Henry did not say whether he's retiring or intends to play elsewhere. He plans to take a few weeks to decide what to do next.
He speaks English, French and Spanish, also could turn his career to television and be a soccer analyst.
Henry joined the Red Bulls from Barcelona after the 2010 World Cup. He had a $3.75 million salary this year and $4.35 million in overall compensation,
"Thierry Henry, an icon of the world's game, has been a wonderful player for the New York Red Bulls and a major influence on the development of MLS," Red Bulls sporting director Andy Roxburgh said..
Henry played in 122 matches for the Red Bulls, scoring 51 goals and adding 42 assists, tops in franchise history. His goals total was second to Juan Pablo Ángel's 58, 14 of his goals were winners and 11 of his assists set up winning goals, also tops in club history.
Henry also scored some of the league's most spectacular goals, including one that went directly into the net on a corner kick against Columbus in 2012.
Former Liverpool defender Jamie Carragher was quick to react to the on news.
"What a player!" he tweeted. "The best I faced without a doubt and yes I still have nightmares about him running past me at Anfield!! "
Henry was an MLS All-Star four times (2011-2014), a finalist for the league's MVP award in 2012 and picked for MLS Best XI in 2011 and 2012.
In announcing his departure, Henry said he enjoyed his time playing in the MLS and living in the area.
"A special mention must go to the Red Bull fans who have supported this team through the good, the bad and the ugly times in the sun, rain and snow. You guys have really meant a lot to me and thank you for all your wonderful support," he said.
AP Sports Writer Rob Harris in London contributed to this report.