He was suppose to join in 2006. I think that CL final and the way it panned out in the heat of the moment he changed his mind. I remember Johan Cruyff talking about this, saying he made the wrong choice.
A year later and things have changed. 06/07 he has come off that legendary performance at the Bernabau and scored 27 goals in 32 games, next season Henry's spent a lot of the season injured and his market value has gone down. Probably can't command the same salary....