The ex-France striker hailed his former boss and said he is praying that the north Londoners are crowned champions of England this year.
The former France international scored 226 goals in 369 appearances for Arsenal between 1999 and 2007, before returning for a two-month loan spell in 2012 from his current club, New York Red Bulls.
Henry won seven trophies in his time in north London, but the Gunners have failed to win any silverware since 2005.
However, Arsenal is currently atop the Premier League table after 21 games and Henry believes this could be the year for his former side.
"I still watch Arsenal a lot," he said at an event in Barcelona. "They have had a great start to the season and I hope they can keep it up. I would be really happy if they won the Premier League."
Henry also paid tribute to former boss Wenger, who signed him from Juventus in 1999.
"He changed the philosophy of the club," the 36-year-old said. "He won stuff as soon as he arrived and therefore he earned the trust of the fans and the respect of everyone."
The striker left Arsenal in 2007 to join Barcelona, where he was part of the treble-winning side of 2008-09 under Pep Guardiola.
However, he believes the Catalan club is also on the right track this season with Argentine boss Gerardo Martino.
"How many points do they have?" he said. "I don't think 50 points is bad at halfway [in La Liga]. They changed coach in the summer, but when I watch them I see them doing well - they are still a great team."
Henry's New York Red Bulls have been linked with a move for his former Barca teammate, Xavi, at the end of the season, but he insists that he has not been in touch with the midfielder.
"I haven't spoken to him," Henry said. "But Xavi is such a great player and he can play anywhere. He can play in MLS, in France, in England, anywhere ...
"Xavi plays football the way I believe football should be played, just like [Andres] Iniesta and Cesc [Fabregas]. The way Barcelona play is the way I think the game should be played."