“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 all-time top scorer at English Premier League club Arsenal with 226 goals in 370 appearances, said he was joining Sky.
“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.
Arsenal manager Arsene Wenger said recently that Henry will “certainly” return to the club in some capacity in the future.
Henry, who has a daughter based in England, told L’Equipe in recent weeks that he wants to help Arsenal win the Champions League.
Henry first made his mark at French club Monaco before moving to Italian giants Juventus.
But the bulk of his career was spent at Arsenal under Wenger, who brought him to north London in 1999. He was a crucial part of the 2003-2004 “Invincibles” team, which went unbeaten as it marauded to the Premier League title.
In England, Henry won the Premier League twice, the FA Cup twice, the Premier League Golden Boot four times and was voted the PFA Player of the Year twice.
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.