Henry has left his role as a pundit for Sky Sports to focus on becoming a football manager.
He will now fully focus on coaching as he looked to fulfil his aim of becoming a manager.
"Over the last 4 years I have had some extremely rewarding coaching experiences in football," he wrote on Twitter.
"These experiences have only made me more determined to fulfil my long-term ambition to become a football manager.
"It is with sadness, therefore, that I have decided that I must leave Sky Sports to enable me to spend more time on the pitch and concentrate on my journey to achieving that goal.
"I would like to thank everyone at Sky for making me feel so welcome and at ease throughout my time with them and I wish them all the best for the future. Great memories."