The former France international, a member of Les Bleus' triumphant 1998 World Cup-winning squad, revealed he would now ''take the next few weeks to reflect'' before deciding on his next career move after the Red Bulls' MLS Cup campaign ended with a 4-3 aggregate defeat to rivals the New England Revolution in the Eastern Conference Championship play-off.

Even though he moved across the Atlantic, Henry has retained close links with Arsenal, where he is the club record scorer, and trained at the Premier League club's Hertfordshire base before a brief loan spell during January 2012.

While it remains too early for any firm decision either way, Gunners boss Arsene Wenger is expected to face questions about the prospects of another reunion at Tuesday's scheduled press conference ahead of the game against Southampton.

Henry had hinted during a recent interview with French newspaper L'Equipe he could be interested in a future coaching role with the Gunners, and that he would "like to help" them win the Champions League, something which has eluded the north London club despite Henry helping them reach the final in 2006.

Before anything happens, though, Henry intends to have some time away from the game.

A statement from Henry on Monday afternoon read: ''I am taking this opportunity to announce that unfortunately Saturday was my last game for the New York Red Bulls.

'The decision has always been that I would leave after the duration of my contract and although that was never going to change, I didn't want it to distract from the progress of the team.

''I have immensely enjoyed my four-and-a-half years here and would like to thank everyone involved with this club who has made my time here so enjoyable.

''I will now take the next few weeks to reflect and decide on the next chapter of my career.''