The iconic French forward returned to the club where he scored 226 goals over an eight-year period on a short-team deal last season, famously netting the winner in an FA Cup clash with Leeds United and league goals against Blackburn and Sunderland.
Wenger has admitted that he has not yet ruled out a third Gunners stint for Henry, with the 35-year-old's current club, the New York Red Bulls, currently out of action during the MLS offseason. Henry has been training with Arsenal during the Red Bulls' break but is not an active player for the club.
"I've not lost interest in him," Wenger told reporters. "I've not completely [ruled it out]. But I haven't spoken about it with him at all. He's still coming today to practice with us. We are very close, but at the moment I think he has had a second spell at the club that was very successful. You have to be cautious that it's not one time too many."
Red Bulls officials have maintained that Arsenal has yet to contact the club about a potential Henry loan, something that Red Bulls sporting director Andy Roxburgh seemed opposed to in comments made last month.