The Foxes manager has acted quickly to deny speculation the Championship side could land the former Arsenal striker on a short-term deal.
Henry is currently playing for New York Red Bulls and it was thought he could be free to play for another club during the MLS side's close-season.
But Eriksson confirmed Henry will be playing no part in Leicester's promotion push, despite rumours of an approach.
"It is not true I made an enquiry about him," said the Swede after his side's 4-2 defeat to Manchester City in their FA Cup third-round replay.
"Sometimes you get these rumours and there is a little bit of truth. This time, no.
"I asked the manager of New York Red Bulls - Hans Bakke - before Christmas if he had some good players he wanted to give me on loan for two months. He said no. That was it. I have not spoken to Thierry or his agent."
