He was appointed by Montreal in November 2019 and signed a two-year deal.
His first season saw the Canadians finish ninth in the Eastern Conference of the MLS before losing at the first hurdle in the play-offs, while they lost in the quarter-finals of the CONCACAF Champions League.
The season was complicated by pandemic travel restrictions which forced the team to relocate to the United States to play games.
They played just three fixtures at their own Stade Saputo as a result.
“Thierry’s departure is unfortunate and premature because this was very promising, but he informed me of his desire to be back with his family because the situation was and remains very difficult for both him and his family,” said CF Montreal’s sporting director, Olivier Renard.
Henry, who is Arsenal’s all-time record goal-scorer and also the all-time top scorer for France, previously spent three troubled months in charge at Monaco between October 2018 and January 2019.
Before that, he worked as a youth coach at Arsenal and then as assistant coach to Roberto Martinez with the Belgian national team as they finished third at the 2018 World Cup in Russia.
His Montreal side last season featured the likes of Kenyan former Tottenham Hotspur midfielder Victor Wanyama and ex-Barcelona striker Bojan Krkic.
Earlier this month it was reported that Bournemouth was keen to appoint Henry as they seek to make an immediate return to the English Premier League.
However last weekend they named Jonathan Woodgate as their head coach until the end of this season.
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