Hans Vanaken's brace and Wesley's sensational strike put Brugge up 3-0 at half-time, before Ruud Vormer netted with five minutes remaining to complete the rout at Stade Louis II.
The loss was the heaviest Monaco have ever suffered at home in a Champions League/European Cup match.
0-4 - Against Club Brugge (0-4), Monaco have registered their heaviest defeat at home in the Champions League/European Cup. Disaster. pic.twitter.com/vOkAwkp7Op— OptaJean (@OptaJean) November 6, 2018
Brugge registered their largest margin of victory in the Champions League/European Cup since September 1977, and it was also the Belgian side's first win in their last 12 Champions League games.
Henry took over for Leonardo Jardim in October, and has failed to turn things around for the struggling principality side.
Monaco's poor run of form predates Henry's arrival, as the Ligue 1 side have now lost each of their last six home games in the Champions League, conceding 17 goals and scoring just three.
The club have been shipping goals on the continent for quite some time, failing to keep a clean sheet in each of their last 18 games in Europe's top club competition.
Things could get worse for Monaco on Sunday when they take on PSG, who have started the Ligue 1 season with 12 wins from 12 games.