Arsenal were one of 12 founding members of the breakaway competition announced last Sunday - six of those from England - which sparked widespread disapproval.
The Gunners withdrew their support 48 hours later, but protesting supporters gathered outside Emirates Stadium on Friday calling for owner Stan Kroenke to leave.
Henry, the club's all-time leading goalscorer with 228 goals, has followed his former boss Arsene Wenger in condemning the American-based owners for their part in the saga.
"I do not recognize my club and what happened just now, with them trying to join a league that would have been closed, makes no sense to me," Henry told the Telegraph.
"They have been running the club like a company, not a football club, and they showed their hand.
"Maybe it's a lack of understanding of the core football values and maybe the money was too big of a temptation. But whatever it was, they got it wrong. Badly wrong.
"I was genuinely shocked like most people and couldn't believe what was unfolding.
"I have never talked before, but what happened recently made me realize fans, this is your club. It is your club and I'm an Arsenal fan too.
"I'm proud of what the fans achieved. Not just Arsenal fans, all the fans. The result was a victory for football."