The Gunners traveled to Anfield on Sunday (27 August) as they looked to bounce back from their defeat to Stoke City last weekend.
However, they were completely outclassed and punished by the hosts as goals from Roberto Firmino, Sadio Mane, Mohamed Salah and Daniel Sturridge inflicted a second defeat in three league games in what was one of the club's worst performances in recent memory.
Henry was not pleased with Arsenal's performance, branding it as "unwatchable" and putting manager Arsene Wenger and the board at fault.
"That was unwatchable. At one point, I wanted to leave. It's too much to take," Henry said on Sky Sports, as reported by FourFourTwo. "I don't relate to the team and I don't think a lot of the fans do. That is a problem.
"It's comfortable at Arsenal. There's not that kind of pressure that you should have at a big club. You don't win the league for a very long time and you're not competing – it's on them [Wenger and the board] to change it.
"I go back to that comfort zone you have at Arsenal. Everything is nice and it cannot be like that."
What made the latest setback worse for Henry was that he had predicted it and was not shocked by another poor away performance against a top-six team, with Arsenal now languishing in 16th place.
"I said it at the beginning of the season. Stagnation. People looked at me sideways," he added. "I knew what would happen today, I knew what was going to happen against Leicester, I knew what was going to happen at Stoke."
"So I am not [shocked]. But still when you see it, you are like, 'No. Not really. Again?' I am not that shocked in a way, that's what I expected today unfortunately."
Wenger will likely welcome the timing of the international break as he will hope to regroup and get the north London club's season back on track.
However, they don't have an easy task awaiting them once domestic football returns as Arsenal's next league game is an away trip to Chelsea.