The Arsenal legend (pictured above) took charge of the Major League Soccer side in November 2019.
But Henry, 43, decided the prospect of spending more time away from his family after Montreal were forced to relocate from Canada to the United States last season due to the coronavirus pandemic was too much to bear.
He said: “It is with a heavy heart that I’ve decided to take this decision. 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 we will have to relocate to the US again for several months, it 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 Montreal.
“I would like to thank the fans, players and all the staff of this club that have made me feel so welcome.”
Under Henry’s guidance, Montreal qualified for the MLS play-offs for the first time since 2016 and reached the quarter-finals of the CONCACAF Champions League.
It is with much sadness that I must take the decision to return to London and leave CF MontrealThierry Henry
Montreal’s sporting director Olivier Renard said: “Thierry’s departure is unfortunate and premature because this was very promising.
“But he informed me of his desire to be back with his family because the situation was and remains very difficult for both him and his family.
“I want to thank him, first on a human level because he led the players by example last year by being away from his family, but also from a sporting level and for what we have built together since his arrival.”
Following a stint as Belgium boss Roberto Martinez’s assistant, Henry spent three months in charge of French Ligue 1 side Monaco in 2018-19.
Bournemouth requested permission to speak to him earlier this month before appointing Jonathan Woodgate on a permanent basis.