It depends what you mean. Henry was possibly the most consistently good player of the last decade but he was at no point ever the best player in the world, and Ronaldinho and Ronaldo's peaks were much, much greater than anything Henry ever was.
Yes he was, in 2003 and 2004 he was the best in the world IMO, and if there were a difference between Ronaldo, Henry and Ronaldinho, it's marginal at best. To say otherwise is extremely disrespectful and stupidly biased.
Ronaldo was the better player of the three in his earlier career, his potential seemed limitless at the time before injuries cruely robbed him of being the greatest player of our generation. Henry under Wenger's guidence transformed into the most lethal and consistent attacking player in the world. By far the deadliest centre-forward and probably the most creative too at his absolute peak, always at the hub of everything Arsenal did good going forwards.
Ronaldinho was superb from 2003-2006, had two extraordinary seasons before he fell off the bandwaggon. In 2003 and 2004, Henry was robbed off the Ballon d'Or awards by Zidane and Ronaldinho respectively. Ronaldinho deserved the award in 2005, and in 2006 you could have even argued Henry should have won it for his individual efforts taking that Arsenal side on their last legs to the Champions League final, neither player managed to stamp their authority in that final mind, and because Barcelona won it, Ronaldinho deserved it. Cannavaro winning it was a travesty, that's another story though.
For sheer consistency and absolute brilliance, Henry is hands down the best player of the last decade. That said Messi is taking what Ronaldinho, Ronaldo and Henry once did and pushing that boundry even further (45 goals and 20+ assists is freakish).... and in fairness, so is a certain Cristiano Ronaldo.