Henry, who played for Arsenal for eight years before leaving for Barcelona in 2007, took to Twitter to deny the rumours.
"I know I don’t need to explain this to the majority of Arsenal fans but contrary to speculation at no time did I tell Alexis Sanchez to leave Arsenal," Henry said.
"I had no idea he was going to sign for Man Utd (sic) until I saw it on the news like the rest of you."
On Monday, Sanchez - who had been at Arsenal three-and-a-half years - alluded to a supposed conversation with Henry as he hit out at his critics.
"There are people (former club players) who have spoken with no knowledge of what happens inside the club and cause damage," Sanchez wrote on Instagram.
"I must say I always gave 100%, until the last day, when I asked to the Mister (Arsene Wenger) to be in the team, because I wanted to be a contribution."
"I remember today, a conversation I had with Henry, a historic Arsenal player, who changed club for the same reason and today is my turn."
Sanchez joined Manchester United on a four-and-a-half year deal making him the best paid player in the Premier League on an estimated $612,780-a-week. Meanwhile midfielder Henrikh Mkhitaryan joined Arsenal as part of the trade deal.
