Henry is looking to work towards his Uefa Pro Licence, but staying with Arsenal - the club he scored 228 goals in 376 games for - is now off the table after Henry wanted to keep his punditry role.
The report claims that the Frenchman has held talks with Watford and West Ham about possible coaching roles, whilst there is also a chance that Henry works with a national organisation, such as The FA.
Moves to Watford or West Ham would allow Henry to stay in London, and it seems that both clubs would be willing to let Henry continue to work with Sky Sports next season - something Arsenal boss Wenger clearly wasn't even considering.
It's added that Henry had not only offered to work for free with the Arsenal Under-18's, but also wanted to work with the club's strikers on just one day a week - but Wenger refused to budge and wouldn't allow Henry to coach unless he quit his position with Sky Sports.
It seems that Wenger wasn't so keen on Henry being in a position to be critical of the Gunners on national TV and then heading to coach the club's players, and that could lead Henry to Watford or West Ham this summer.
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