Henry, who announced his retirement in December, helped guide Arsenal to two Premier League titles and three FA Cup trophies, while he also remains the club’s record scorer with 228 goals.
"I never considered leaving Arsenal." Henry told beIN Sports. "But I was 29 years old and in form, I thought all the guys left and I did not know if Arsene [Wenger] would be staying.
"It was not easy and when I left I cried. I'm not ashamed to say it. I'm a competitor and I had to leave.”
Henry joined Barcelona in a €21.3 million deal in June 2007 but insists he had to force his way into Guardiola’s plans.
"When I arrived at Barcelona, Guardiola told me that I was the fourth-choice striker and I would not be starter,” said the Frenchman.
"I accepted the challenge and I fought, and competition makes you increase your level. People talk about luck, but you need to create your own. When you work, you get the reward at the end.”
Henry also revealed the extent of his struggles at Juventus, which prompted his move to Arsenal in 1999 after just 19 appearances for the Serie A club.
"When I arrived at Juventus, there were many problems," said Henry. "The team was not running well. I played under Ancelotti in a 3-5-2, a system where I had trouble fitting in.
"I struggled, even after I started to score. But I left for other reasons because Luciano Moggi [Juventus' then chief managing director] wanted to do business. It was not respectable what he did."
