Henry was a spectacular failure in his one and only managerial stint with Monaco.
He was sacked after only four months with the club where he grew up as a player.
Speaking at a press conference after signing a two-year deal, Henry told reporters: "You have to start somewhere. That's how you acquire experience. For me it came with Belgium and Monaco, where I learned a lot about myself.
"It's about fighting. This isn't just my story but the story of everyone in life. Everyone falls. It's about how you get up.
"It didn't work out in Monaco (as a coach). I can give you a lot of excuses but at the end of the day it didn't work out and I am here as a coach of Montreal.
"I learned a lot there. The only mistake you can make is not learning from what happened. You have to confront it."