"I am taking this opportunity to announce that unfortunately Saturday was my last game for the New York Red Bulls," Henry said in a statement.
"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 half years here and would like to thank everyone involved with this club who has made my time here so enjoyable," he added.
Henry, 37, has not decided whether to continue his career with another club or retire from playing.
"I will now take the next few weeks to reflect and decide on the next chapter of my career," he said.
Henry did not win an MLS title during his four and half years with the Red Bulls but the former Arsenal, Barcelona and France forward made a significant impact on the growth of MLS.
Along with David Beckham at LA Galaxy, Henry was the second big-name player to move from Europe to the league.
His departure comes as the Red Bulls face the challenge of a new team in the New York area next season -- New York City FC who are owned by Manchester City and the New York Yankees.
The new team has signed former Barcelona and Spain striker David Villa and ex-England midfielder Frank Lampard, who is currently on loan at Manchester City.
The pressure will be on the Red Bulls to bring in another big-name signing to replace Henry as they continue the search for a first MLS title.
"Thierry Henry, an icon of the world's game, has been a wonderful player for the New York Red Bulls and a major influence on the development of MLS," New York Red Bulls sporting director Andy Roxburgh said.
"It has been a privilege to have watched Thierry's illustrious career unfold since he was 17 years old and it has been a particular joy to watch him at close quarters".