Henry's Red Bulls' stay came to an end after they lost the MLS Eastern Conference final to New England Revolution at the weekend.
The 37-year-old is yet to reveal his next move, but French compatriot Wenger is confident an Emirates Stadium return is one the cards at some stage.
"I understand that he wants to reflect for a while on what he wants to do," Wenger said on Tuesday.
"Certainly one day he will come back here. In what capacity, I don't know."
Henry initially moved to Arsenal in 1999 and became a huge hit at the London club, going on to become their record goalscorer with over 200 in all competitions.
He left for Barcelona in 2007 before his move to New York, whom he left on loan to join up with Arsenal briefly in 2012 - scoring on his second debut.
