Speaking at an event in London, the striker who enjoyed a trophy-laden career, refused to choose between the two.
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Henry likened their rivalry to tennis icons Roger Federer and Rafael Nadal while claiming that trying to separate them misses the point of their shared greatness.
"It is a mistake. Why do people want to separate them, if they can enjoy them all?" he told Marca.
"Of course, I played with Leo, and I prefer him for a sentimental reason, but that's why I will never go against Cristiano. Both are on the football moon.
“They are from another planet. They have made each other better, like Nadal and Federer, Prost-Senna, and others in the history of sport. Cris and Leo are out of the competition."