The Red Bulls head into the second leg of their MLS Eastern Conference final on Saturday hoping to overturn a 2-1 defeat from the opening encounter.
Henry concedes he is unsure of his plans following the conclusion of the current MLS campaign, but concedes he would like to assist his former club in some capacity.
"Nothing is clear," he told L'Equipe. "I have not taken any decision or speculated, it's not my thing.
"One thing is certain: I will stay in football, to coach, to be a consultant... we'll see.
"The second certainty is that I would like to see Arsenal win the Champions League.
"Whether from near or far, it does not depend on me, but I'd sure like to help.
"Because this is my club and, as a player, I have not been able to give them the Champions League."
Henry, 37, has scored 52 goals in 134 MLS appearances since joining the Red Bulls in 2010.
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