The Red Bulls' season came to an end at the weekend as they lost the Eastern Conference final to New England Revolution.
With Henry's contract with New York set to expire at the end of 2014, it had long been speculated that this season would be his last with the franchise.
And the 37-year-old former Arsenal and Barcelona star has now confirmed that he has played his last game for the Red Bulls, although the Frenchman has not decided what the next step in his career will be.
Henry said in a statement released on his official Facebook profile: "I am taking this opportunity to announce that unfortunately Saturday was my last game for the New York Red Bulls. The decision has always been that I would leave after the duration of my contract and although that was never going to change, I didn't want it to distract from the progress of the team.
"I have immensely enjoyed my four-and-a-half years here and would like to thank everyone involved with this club who has made my time here so enjoyable.
"Thanks must go particularly to [former sporting director] Erik Soler, [former manager] Hans Backe, [Red Bull head of global football] Gerard Houllier, [sporting director] Andy Roxburgh, [head coach] Mike Petke, all my team-mates, the technical staff, medical staff, all the personnel who work for the Red Bull organisation, the MLS and of course the owner Mr Mateschitz whose vision and passion brought me to this wonderful city.
"A special mention must go to the Red Bull fans who have supported this team through the good, the bad and the ugly times in the sun, rain and snow. You guys have really meant a lot to me and thank you for all your wonderful support.
"I will now take the next few weeks to reflect and decide on the next chapter of my career."
Red Bulls general manager Marc de Grandpre said: "On behalf of the New York Red Bulls I would like to thank Thierry Henry for the incredible impact he has made on both our organisation and the American soccer community as a whole.
"He is truly one of the all-time great talents and will forever hold a special place within the organisation's history. We wish Thierry all the best for his future."
Henry scored 51 goals in 122 appearances for the Red Bulls.
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