However, with rumours of Wenger possibly leaving the Emirates Stadium at the end of the season, the Arsenal legend has reportedly been earmarked as a potential replacement.
Henry is one of several people who have been linked with the Arsenal managerial job, with long-serving manager Wenger yet to confirm whether he will sign a contract extension at the club.
The Gunners finish April with Premier League fixtures against Middlesbrough and Tottenham Hotspur, either side of an FA Cup semi-final with Pep Guardiola's Manchester City at Wembley.
Arsene Wenger is yet to announce his continuity with Arsenal as his contract expires in the summer.
Back in January, Mesut Ozil told German magazine Kicker that he wanted to know more about Wenger's future at the club before making the decision on his further future commitment. I don't know exactly what's going on. "The fans want me to stay, and now it's only down to the club", Ozil said.
"I can talk to Arsene Wenger every morning but now he needs to put some stability on the club". Wenger, more than any other manager, does not do business through the media - he's very closed, very quiet.
Henry has largely combined his work as a pundit with Sky with his coaching aspirations and is assistant manager to former Everton and Wigan boss Roberto Martinez with Belgium. It is not a problem for the players.
Lukas Podolski has claimed Arsene Wenger built Arsenal "from nothing" and believes the Frenchman will be hard to replace as the club has been built in his image.
"It was very close, we had an agreement with the player", Wenger told beIN SPORTS.
'The quality is there and when you see the names on the paper they are great players, like Ozil and Sanchez'.