The former defender praised Henry for his outstanding playing career and admitted he is looking forward to working with the Frenchman.
He said: "We were blessed in this country to see Thierry playing at his peak, potentially one of the greatest players in the world and even if you supported another team you couldn't help but enjoy watching him play.
"It's always a shame when such a career comes to an end, but it's very much Sky Sports' gain and I look forward to working with him."
Former Reds midfielder Jamie Redknapp, who played at north London rivals Tottenham while Henry was at the Gunners, said: "I know from playing against Thierry how good a player he was and Sky Sports viewers are in for a treat.
"His game was built around incredible pace, power and finishing, not to mention the ability to read the game better than most. His views will be fascinating and I can't wait to work alongside him."
After the Gunners linked the announcement on their Twitter feed just after 7am, they posted some photographs marking some of the highlights in Henry's glittering career at the club.
That was before they posted a message asking for former players and fans alike to post their thoughts on the Frenchman's retirement with the hashtag £KingHenry, which was re-tweeted over 900 times in the next three hours.
Their tweet read: "What's your reaction to the news of @ThierryHenry's retirement? Post your messages using £KingHenry"
BBC pundit Gary Lineker, a former striker at White Hart Lane, commented on Henry's decision on Twitter with a message, saying: "Congratulations to @ThierryHenry on a truly wonderful career. One of the great footballers of our time and a top bloke. Bonne chance."
Current Arsenal and Wales midfielder Aaron Ramsey tweeted: "Congratulations on an outstanding career @ThierryHenry. Top player. Top guy. £Legend"
Tottenham goalkeeper Brad Friedel wished him luck as he tweeted: "@ThierryHenry congratulations on an amazing career…one of the best I've faced over the last 23 years! Good luck with ur next adventure!"
Barcelona also honoured their former player with a short article detailing his career at the Catalan club, ending poignantly with "Merci, Henry".
Meanwhile, French national newspaper L'Equipe is running a poll to determine where Henry should be ranked in their list of the nation's greatest ever players.
After just over 30,000 votes, 23 per cent think he is third while one in five people have placed him fifth.