The boss has called for concentration ahead of the "massive game" at San Siro, adding that the legendary striker would have been a success without his influence on his career.
It was confirmed that Henry would be ending his loan spell from the New York Red Bulls this week prior to the start of the Major League Soccer season.
“For me, first I hope it will be a positive emotion [on Wednesday]," Wenger told Arsenal's website. "But what is important is that we focus on the night because it is a massive game for us. Let's hope we have positive emotions there.”
Henry made a dream return to Arsenal by netting the winning goal on his second game back to the club against Leeds United in the FA Cup third round last month.
The French striker has since gone on to score in the 7-1 demolition of Blackburn Rovers before coming on as a substitute to grab the winner against Sunderland on Saturday.
But Wenger, who has now managed Henry in three separate spells at two different clubs, says the player would have been a success without his impact on his career.
“He would have done it without me,” he added. “I think that great players have one great characteristic - they will always surprise you with how far they can go. The motivation inside them is very big and they never have enough."
Wenger coached Henry at Monaco and Arsenal twice.
“I think the history we have had together is special because you do not [usually] meet the same player three times,” Wenger told the website.