"After 20 years in the game I have decided to retire from professional football," Henry said in a statement on his Facebook page.
Henry, 37, a world and European champion with France, and the record scorer at English Premier League club Arsenal, said he was joining Sky Sports.
"It is now time for a different career path and I am pleased to say that I will be returning to London and joining Sky Sports," he said.
Henry himself has told L'Equipe in recent weeks that he wants to help Arsenal win the Champions League.
Henry first made his mark at Monaco before moving to Italian giants Juventus.
The bulk of his career was spent at Arsenal and he also played for Barcelona.
He completed his playing career in the United States, playing for the New York Red Bulls in the MLS but could not prevent them being eliminated in the semi-finals of the playoffs this season.
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