The 47-year-old was contracted until next summer but has opted to leave his position after a year in the job.
"Winning the silver medal at the Olympic Games for my country will remain one of the greatest prides of my life," said Henry.
"I am incredibly grateful to the federation, the players, the staff and the supporters who allowed me to live a magical experience."
The French Olympic team, an U23 side with three over-age players, lost 5-3 to Spain in a dramatic final earlier this month.
Prior to his appointment by France, Henry had worked as assistant coach of Belgium with managerial jobs at Monaco and Major League Soccer side Montreal Impact.
"On behalf of the FFF (French Football Federation), I would like to thank Thierry Henry for all the work he has accomplished at the head of the under-21 and Olympic teams," said FFF president Philippe Diallo.
"We obviously regret this decision because Thierry Henry was able to achieve the objectives that had been set for him by winning a silver medal at the Paris Olympics, 40 years after the Olympic medal in Los Angeles.
"Having followed him throughout this campaign, I was able to discover his great professionalism, his rigour and his love of the blue jersey.
"We wish him good luck for the rest of his career."
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