The former Manchester United midfielder was given the captains armband for Wednesday night's MLS All-Star game against his old club, which the Red Devils won 4-0, and joked that perhaps Henry beat him to the locker room to leave it there for him.
"I was surprised as anyone to get the armband," Beckham said. "I expected Thierry [Henry] to have it, being his team and his home and his fans.
"I think Thierry may have sneakily just got in my locker before the game. I did thank him for it, but he didn't admit to it. That's how Thierry's like."
And Beckham added that it was great to play in New York and hear the roar of the crowd every time Henry touched the ball.
"I've always loved playing in New York," he added. "It's definitely one of the best stadiums in MLS. Great fans. They're passionate fans.
"And I love the way they cheer for Thierry. It was great to see. It was a pleasure playing here tonight and playing in front of those fans."