Henry, now with New York Red Bulls, is currently back training with the Gunners following the end of the MLS season, leading some to suggest Wenger might look to secure the 34-year-old on a short-term contract in the New Year.
But Wenger insists the possibility of a transfer has not crossed his mind, and maintains he is perfectly happy with the squad of players currently at his disposal.
"I have not thought about that at all. At the moment we have a big squad and anyway, that problem cannot be examined before the end of December," he told reporters.
"At the moment we have 26 outfield players so we have a massive squad.
"Thierry's future is in the [United] States. He is going back in February. Until then we will just help him to practise and keep fit."
However, Wenger did admit he is delighted to have Henry back on the training ground after a four-year absence.
"Thierry loves football, and he loves Arsenal,” he added.
"To practise with us for him is a pleasure - for him and for us. I think it is an honour and a pleasure.
“An honour because he is a legend at the club and he is coming back, a pleasure because when he is on the football pitch, he is still a great player."
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