The 65-year-old took over in December 2003 and saw his side narrowly beat France 8-7 in the World Cup final on 23 October to claim their second title.
He said: "I've had enough, it's been an enormous privilege to coach the All Blacks and I am exceptionally proud of how the team has added to the legacy."
Henry won 85.4% of Tests as All Blacks coach, winning 88 of his 103 Tests.Continue reading the main story Named coach in 2003 replacing John MitchellIn 2005, Henry's New Zealand beat the Lions 3-0, win the Tri-Nations and win every game on their tour of the northern hemisphere The All Blacks recover from a poor start to win the 2008 Tri-Nations then record a Grand Slam tour of the UK and Ireland in NovemberThe Kiwis win the Tri-Nations in 2010, securing an unprecedented six wins from six games. A third Grand Slam in five years followsWorld Cup glory follows in 2011 as they beat France in the finalHenry wins 88 of his 103 Tests in charge of New Zealand
He won the Tri-Nations, which pits New Zealand against Australia and South Africa, five times and achieved three Grand Slams against the Northern Hemisphere home nations during November tours.
But he will be most feted for guiding the All Blacks to their second World Cup triumph on home soil, 24 years after the side won the inaugural tournament, also in New Zealand.
Henry added: "I am exceptionally proud of how the players have developed an extremely professional and enjoyable culture and environment, and how they have reached out to people of all ages and put a smile on their faces, both here in New Zealand and overseas.
"So I want to say a special thank you and congratulations to all the players who have played during this time, especially to Tana Umaga and Richie McCaw, the two long-term captains."
Former Wales coach Henry has said that he would be interested in a role with the RFU.
But New Zealand Rugby Union chief executive Steve Tew is confident of keeping Henry in the country in a mentor role.
Tew said: "He leaves the All Blacks job as one of the greatest coaches in the game, his record is unsurpassed and while he will now get time to spend with family and friends, and the odd bit of fishing, we are delighted that Graham is still going to be involved in New Zealand rugby."
Henry was in charge of Wales for four years, winning 20 of his 34 Tests before leaving in 2002, and he also took charge of the Lions' losing tour to Australia in 2001.
Henry and assistant Steve Hansen - who has been linked with taking over - will coach the Barbarians against Australia at Twickenham on Saturday, 26 November.