The Ligue 1 club were hammered 4-0 at home by Belgian side Club Brugge.
It was Henry’s third defeat from his winless five games in charge of Monaco.
Hans Vanaken’s brace and Wesley’s sensational strike put Brugge up 3-0 at half-time, before Ruud Vormer netted with five minutes remaining to complete the rout at Stade Louis II.
The loss was the heaviest Monaco have ever suffered at home in a Champions League/European Cup match.
Brugge also registered their largest margin of victory in the Champions League/European Cup since September 1977 and it was also the Belgian side’s first win in their last 12 Champions League games.