Henry was appointed as Montreal manager in November 2019 and led them to the MLS Playoffs in the 2020 season for the first time in four years.
The former AS Monaco manager was recently linked with the managerial position at championship side Bournemouth but that role has since gone to Jonathan Woodgate.
“It is with a heavy heart that I’ve decided to take this decision,” said Henry on Thursday.
“The last year has been an extremely difficult one for me personally. Due to the worldwide pandemic, I was unable to see my children.
“Unfortunately due to the ongoing restrictions and the fact that we will have to relocate to the US again for several months will be no different.
“The separation is too much of a strain for me and my kids. Therefore, it is with much sadness that I must take the decision to return to London and leave CF Montréal.
“I would like to thank the fans, players and all the staff of this Club that have made me feel so welcome.
“I would also like to thank Kevin Gilmore, Olivier Renard and of course Joey and all of the Saputo family for giving me this wonderful opportunity.
“We had an impossible year together and to make the playoffs with this group of people is an experience that I will never forget. Thank you all for being there on this journey and I wish you all the success for the future.”
