The New York Red Bulls striker, 36, is the north London club's record scorer with 228 goals to his name and was part of the last Arsenal team to win a trophy - the FA Cup back in 2005.
|66/1||Thierry Henry is 66/1 with BetVictor to be Arsenal's next manager|
"I would love to be around the game and - I've said it so many times - hopefully around Arsenal," he told Sky Sports.
"What am I going to do? I don't know if it's going to be coaching. I really don't know yet. I'm trying to finish my career, which is something I have to concentrate on.
"This is my last year actually, the one coming, on paper. I'm not saying I'm retiring, I'm saying that's my last year on paper to make it clear."
When asked if he will ever manage Arsenal, Henry said: "I don't know. I'm sure if you asked any Arsenal fan they would love to be the Arsenal manager, but I actually don't know.
"You need to do some stuff before that. You can't pretend that you can come and be a manager. It's really difficult.
"The dream for me would be to be back at Arsenal. The rest we will see, but the dream would be to be back at Arsenal, obviously."