Ferguson announced on Wednesday that he is ending his 26-year reign at Old Trafford, with David Moyes set to succeed him in charge of the Premier League champions.
|PREMIER LEAGUE LATEST
|7/4||Man Utd are 7/4 with Coral to finish trophyless next season
"Everyone is sad about the loss to the game. What a boss, what a legend," Henry told reporters after New York Red Bulls' 2-1 home victory over Montreal. "I have no words to describe what Sir Alex has done for the game."
Henry admitted that the announcement caught him off guard and said that Ferguson's greatest quality was his bold confidence and self-belief.
"It's just mind blowing. It's caught me off guard right now because I saw it in the morning like everyone did," he added.
"I can say that I've been fighting against his team for a very long time, I only have respect for that man. What he did has no words.
"What I'll always remember is when he came in, he said that he wanted to top Liverpool and he did it. It's not like he did it and then said 'Oh that's what I had in the back of my mind.'
"He said it before [it happened] and he did it. So you have to give him his credit, what he did at that club. Just an outstanding career."