The 1998 World Cup winner, and Arsenal's all-time leading goalscorer, left New York Red Bulls this month but there was speculation he might choose to play on at another club.
"It has been an incredible journey," said the 37-year-old. Henry is joining Sky Sports after being a World Cup pundit for the BBC.
The Frenchman, who also played for Monaco, Juventus, and Barcelona, scored 175 Premier League goals and is fourth on the list of all-time scorers.
Henry won two Premier League titles and three FA Cups with the Gunners, where he played between 1999 and 2007. He added the Champions League trophy with Barcelona in 2009 and returned to Arsenal for four matches on loan from the Red Bulls in 2012, coming on as a substitute to score the winner against Leeds in the third round of the FA Cup.
When asked if he had considered another stint at the Emirates, he told Sky Sports: "You kind of never leave Arsenal." But he added that another comeback might prove costly, referencing the 'Rocky' films starring Sylvester Stallone. "At one point, it will turn out to be a bad move," he said. "We all love the first Rocky, but I'm not too sure about the last one."
Henry, France's record goalscorer, made his Monaco debut in 1994 and helped the club to the French Ligue 1 title in 1997. In 1998, he was an unused substitute in the World Cup final victory over Brazil, though he went on to score three goals as France won Euro 2000.
"I would like to thank all the fans, team-mates and individuals involved with AS Monaco, Juventus, Arsenal, Barcelona, the New York Red Bulls and, of course, the French national team that have made my time in the game so special," said Henry in a statement.
"I have had some amazing memories (mostly good!) and a wonderful experience. I hope you have enjoyed watching as much as I have enjoyed taking part. See you on the other side."
A number of current and former players have tweeted their reactions to Henry's retirement:
Arsenal midfielder Aaron Ramsey: "Congratulations on an outstanding career @ThierryHenry. Top player. Top guy. #Legend"
MOTD presenter Gary Lineker: "Congratulations to @ThierryHenry on a truly wonderful career. One of the great footballers of our time and a top bloke. Bonne chance."
Liverpool striker Daniel Sturridge: "Happy retirement to my hero and idol @ThierryHenry. Wish you all the best in the next chapter."
Arsenal striker Kelly Smith: "Congrats to @ThierryHenry on a fantastic career. Loved watching him play. What a player."
Arsenal winger Theo Walcott: "A true inspiration to me in my career."
Arsenal midfielder Mesut Ozil: "Once you enchanted all of us - now I can only say: Thanks for everything! @ThierryHenry #ArsenalLegend"
Tottenham goalkeeper Brad Friedel: "@ThierryHenry congratulations on an amazing career... one of the best I've faced over the last 23 years!"