From the official site:

"It was a tough decision, even though probably by the next time we go on the road trip, we'll send another pitcher out," Yankees manager Joe Torre said. "We just felt Sean Henn seems to be improving. He's probably closer to the long man we'd like to have."

Henn's stay with the Yankees is indefinite. The Yankees are still carrying 13 pitchers and almost certainly will option one to add a position player for the club's upcoming series at National League parks. In the meantime, he's packing light, carrying just enough clothing and equipment to get him to his next destination.