The Frenchman was willing to make a five minute cameo for the Gunners - who he scored more than 200 goals for - but was unable to as his New York side lifted the Emirates Cup
Arsene Wenger pleaded with English referee Kevin Friend and his assistants at half-time to allow the Gunners legend, who played the entire 90 minutes for the MLS side, to swap teams shortly before the end of the 1-1 Emirates Cup draw.
Wenger was told that one player cannot play for two teams in the same match, even in a pre-season tournament.
Henry admitted he would have been delighted to turn out for the home team after getting a rapturous reception from supporters at the club where he spent eight memorable years.
He said afterwards: "Arsenal asked me and I said, 'yeah, why not?' It was the plan but they have some weird rules and Fifa or the ref or whoever it was, denied it. But that's the way it is. It doesn't matter. I've played enough games in an Arsenal shirt."
Henry, who is the leading scorer in the MLS this season, has no desire to return to the Premier League after bringing down the curtain on one of the most successful spells of any overseas player in England four years ago.
He explained: "I don't miss it. I have done what I had to do here. It is more than nice to see the reception I got. It is like, 'wow'. It is amazing, don't get me wrong. But I did what I had to do and I'm happy with it.
"It was very emotional for me, it always is when I come back here. I didn't do it a lot. When I came back for Barcelona I came on for the last 10 or 15 minutes, but now I definitely I know what it is like to run after the ball when you play against Arsenal. I used to be on the other side.
"We were lucky. Somehow we got a draw. I don't know how, but we did. We don't have a big squad so it was difficult for us to put two teams out there. Some of the guys played 90 minutes yesterday and 90 minutes today so you have to give the guys some credit.
"It was kind of mixed emotions. You also want to compete. They were asking for pictures, asking for shirts before the game. You have to try to play it properly. The fans are cheering me beforehand, cheering when I've got the ball. It is the way it is. You know the love I have with the club and the understanding I have with the fans."
Henry refused to be drawn on questions about the future of Cesc Fabregas, who is looking to make the same move that Henry made from Arsenal to Barcelona in 2007.
The Frenchman also avoided giving his opinion on how Arsenal will fare this season, other than to say that like "any Arsenal fan", he expected them to win the Premier League title.
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