The former Arsenal attacker, 37, announced he was leaving MLS on Monday, just days after the Red Bulls bowed out of the play-offs.
Henry has been linked with a return to Arsenal, but refused to divulge what was next - as he was still unsure about retirement.
"The decision was pretty easy for me," he said.
"I still don't know about retirement, but I knew, here, it was going to be my last game. But I didn't want to talk about it [because of the play-offs].
"At the end of the day, I don't like to talk about myself in that way, so I'll let you guys do the talking. All I can assure you is that, although at times it wasn't enough, I always tried my best."
Henry, who joined the Red Bulls in 2010, ended up scoring 51 league goals for New York.
He said the plan was always to leave after four-and-a-half years, and also talked up the quality of MLS.
"Like I said, I didn't want to put the focus on me when we're trying to make the play-offs. That's never been my way of seeing things," Henry said.
"I was always going to leave after four-and-a-half years, that was always going to be the case, like I said, and that was never going to change.
"I had a blast, it wasn't easy at times. It was difficult at the beginning for me, personally. Then after I embraced the league, I knew what the league was all about and I embraced New York too.
"I'm not shy to say whatever I want to say, I never shy away from things like that. I guess the New York crowd usually like that, they let you know too when they don't like you, I don't mind that, I didn't mind that.
"That's the way it is, that's something you need to understand. Like I said so many times, people do think that this league is easy. This league is not easy at all.
"If you come here at a late stage in your career and you're not ready to perform or you think that it's an easy thing and you can just come here and perform, it's not an easy one."
