The France star, who has joined America's Major League Soccer after being released by Barcelona, won the World Cup and European Championship with his country but played only a minor role in Les Bleus capitulation at South Africa 2010.
Raymond Domenech's side limped out of the finals at the group stage, with Henry's final appearance coming as a substitute in the 2-1 defeat by South Africa - a result which confirmed France's early exit.
King of New York: Henry poses in front of the Manhattan skyline
Ready for action: Henry
'That was my last game, against SouthAfrica,' he said. 'Ironically, it was also my first game in the national team against South Africa.'
The 32-year-old said he had made up his mind to retire before the World Cup and would not follow David Beckham's example of commuting between the States and Europe to represent his country.
'I always want to be here 100 per cent and fully committed to this cause and the organisation,' said Henry. 'I couldn't announce it before because that's the not type of thing you announce before a World Cup.'
Henry scored 51 goals in 123 international appearances. He made his debut in October 1997 in a 2-1 win over South Africa.
The French players went on strike and refused to train before their final match of the World Cup after striker Nicolas Anelka was sent home for verbally abusing coach Raymond Domenech, who was replaced after the tournament by Laurent Blanc.
'We still have a good team,' said Henry. 'I think the guys that are going to stay, they still are great players. If you see the guys playing individually in their (club) team, they're always doing great.
'But as you know, in a team sport, it's always a matter of having a great team. It's not only about individuals, and I think Laurent Blanc can do this.'
Still, Henry doesn't think this year's World Cup was the lowest point in his career.
'Going to the World Cup in South Korea (and Japan) in 2002 was, I will say, my worst experience ever as a player,' he said. 'As a group, we didn't even score one goal and we were the reigning world champion.
'And we bounced back, and we went to the final of the World Cup in 2006. Obviously we didn't win it. It still hurts.'
Icon: Henry's infamous handball (left) and wearing his new Red Bulls shirt
By moving to New York, Henry realiseshe could draw the ire of a large Irish community. Last November, Henry handled the ball twice with his left hand before poking it to William Gallas for an extra-time goal against Ireland in a playoff that put France into the World Cup.
Swedishreferee Martin Hansson failed to call the handball and cried after the match when he learned he blew the call.
Swansong: Henry swaps shirts with South Africa captain Aaron Mokoena at the end of his last international
'I think they (the Irish fans) will still havesomething, yeah, but that's the game,' Henry said.
He compared it with another handball call that was missed.
'It was kind of funny to see (Brazil's) Luis Fabiano score this goal against Ivory Coast in the World Cup, and nobody ever said anything,' Henry said.
'It was kind of weird, but that's the way the game is. I already talked a lot about what happened that day, and I made it clear it wasn't intentional. It was like a bad movement at the end and I didn't score the goal.'
He also compared it to Arsenal's 2-1 defeat to Liverpool in the 2001 FA Cup final, when referee Steve Dunn failed to award a penalty against Stephane Henchoz for handling Henry's shot on the line.
'You know how many games I lost like this? Lost an FA Cup final like this,' Henry said. 'After the game, I did apologise and I was saying this to the guys on the pitch, to the Irish guys. But, hey, the rules of the game are the ref doesn't blow the whistle, you've got to play.'
Hansson, while selected for the World Cup referee pool, didn't get to referee any games in South Africa.
'When I do a mistake, when you do a mistake, you get punished,' said Henry. 'So I'm not the guy who sets the rules. I'm not the guy who did punish him. But that is the way it is.'
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