Walcott is enjoying the best season of his career to date, having scored 18 goals in 29 matches in all competitions for Arsene Wenger's team.
He signed a new contract in January to commit his future to the Emirates Stadium and says he learned a lot from his conversation with Arsenal's all-time top goalscorer.
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"Thierry was always going to have a good chat. It was about all sorts of stuff in a private room at the training ground and that was a good thing, so it wasn't like anyone else could see. It meant a lot.
"To have someone with that much experience to talk about not just yourself but what he had to deal with means you learn a lot.
"It was a shame he had to go back so early, to be honest. But when you're learning from the likes of that it's only going to make you get better.
"I'll keep it between me and him but I've taken it all in. I always listen to people but when it's my hero I listen extra hard."
Having previously played predominantly as a right-winger, Walcott has impressed this season as a centre-forward and now hopes to prove he can produce that form on the international stage alongside England team-mate Wayne Rooney.
The Three Lions face Brazil at Wembley on Wednesday without injured strikers Daniel Sturridge and Jermain Defoe.
"If the manager decides to pick us, it could work," Walcott added. "I am a runner, Wayne likes to drop and he can see any ball. He's something special.
"I am probably slightly quicker than Wayne. We tend to look at each other, where we are on the pitch, it's important as a partnership that you have a good relationship with them.
"What I realise as a striker is that you can't over-think things. You're going to be judged on goals and assists but you've always got to make the right decision.
"If that means being greedy at the time you've got to do it. There's no slacking. You have to be focused.
"But I believe in myself. I always have. I enjoy scoring goals and when you enjoy it you want to be there getting the same opportunities, you want to keep on hitting the net."