The former Gunners striker, 33, has been in impressive form for the American side, scoring 13 goals in 29 appearances, bringing about rumours of a move to a top league in Europe at the end of the season.
However, the Frenchman says he is happy remaining in America.
“No, I won’t be playing in Europe again,” Henry said, according to The Telegraph.
“I’m done with Europe. I had my career over there and was lucky enough to win everything with the national team and at club level.
“I respect what David [Beckham] did in terms of playing in Europe with AC Milan, but I am where I am right now and where I’m happy to be.”
The ex-France international will line up alongside Beckham on Wednesday in the MLS All-Star XI against Manchester United in New Jersey.
The team is chosen by MLS fans and features the biggest stars that play in the league.
Henry believes his move to the MLS has been justified by the masses of fans that come to his team’s games, and is revelling in the level of support the Red Bulls receive.
He said: “Since I arrived in New York, the experience has been more than amazing for me.
“The other day, we played in Seattle and there were 48,000 people in the stadium. We played in front of 41,000 in San Jose just before that.
“Fans are coming to see games because there are some amazing players in the league. There is always talk of me, Becks and other players from Europe, but some of the guys within MLS are amazing players who can have a future in Europe.”
The striker left Arsenal in 2007 after scoring 226 goals in 369 games in his eight years at the club.
He won two top-flight titles with the Gunners and three FA Cups, and was club captain before his departure to Barcelona, where he won the Champions League under Pep Guardiola.
The transfer saga over the current skipper at the Emirates Stadium – Cesc Fabregas – is entering its second summer, with the Spanish giants reportedly growing increasingly confident they will sign the midfielder.
Henry, however, remained coy on the matter, saying: “I’m not the boss of Arsenal, so it’s up to them to deal with that. I took my decision and now we’ll see what Cesc will do.”