It wasn't France, for which he won the 1998 World Cup, remains the national team's leading goal-scorer, and second-most capped player.
Henry, who speaks French, English and Spanish, decided to announce his retirement by posting a message in English on his Facebook page, and via a statement from his future employer, Sky Sports in Britain.
"The English have made a statue of him, but in France, he has not always been recognized at his full worth," said Frederic Thiriez, the president of the French league. "(He) will, nonetheless, remain a legend. He was an exceptional striker."
The statue of Henry, on his knees celebrating a goal, stands outside the home stadium of Arsenal, where he is regarded as the Gunners' greatest player.
The 37-year-old Henry was linked to a potential coaching role with Arsenal after ending his career at the New York Red Bulls, but said he will become a TV analyst.
Henry holds the French record of 51 goals in 123 internationals, but he never achieved the same popularity as Zinedine Zidane, Michel Platini, Raymond Kopa or even Just Fontaine.
He started his career at Monaco, played briefly for Juventus, and won more trophies at Barcelona. But it's at Arsenal, from 1999 to 2007, where he joined the pantheon of modern greats.
He won seven trophies at Arsenal, among them two Premier Leagues, including the unbeaten 2003-04 side. He is their leading goal-scorer all-time (228), in the Premier League (175) and in Europe (42).
When asked if he thought about another stint at the club, he said, "You kind of never leave Arsenal. How many comebacks do you make? At one point, it will turn out to be a bad movie. We all love the first Rocky, but I'm not too sure about the last one."
Henry, who was born in the tough Parisian suburb of Les Ulis, started playing football at the age of six, and his talent did not stay unnoticed for long. Nurtured at the national football centre alongside Nicolas Anelka and David Trezeguet, the astute, fast, and technical forward started his professional career at Monaco, where he won the French league in 1997.
His achievements with Monaco opened the door to the France team, and he was selected for the World Cup on his home soil. Although Zinedine Zidane was the big star of the tournament, Henry did not disappoint, and scored his first international goal in the group stage against South Africa, then a brace against Saudi Arabia. He also showed his coolness under pressure, scoring from the spot against Italy in a penalty shootout in the quarterfinals.
"When they (Henry and Trezeguet) had to take penalties against Italy in the quarterfinals it was no problem, even though there was a weight and a responsibility on their shoulders," said Didier Deschamps, the then France captain. "It shaped the careers they would go on to have."
After a disappointing stint at Juventus, Henry reunited at Arsenal with his former Monaco coach, Arsene Wenger. After failing to score in his first eight games, Henry netted 26 goals in that 1999-2000 season, and would become the Premier League's top scorer four times.
From Arsenal, Henry joined Barcelona, becoming part of Pep Guardiola's side that won six major trophies two years later, including the Spanish title and a Champions League triumph over United.
His international career, which included the 2000 European Championship title, finished on a low. There was the infamous handball in the decisive goal against Ireland in a 2010 World Cup playoff, then in South Africa the team didn't win a game, and refused to train before their final match, after Anelka was sent home for verbally abusing coach Raymond Domenech.
"It has been an incredible journey ... I have had some amazing memories (mostly good), and a wonderful experience," Henry wrote on Facebook. "I hope you have enjoyed watching as much as I have enjoyed taking part."