The club legend, who scored 228 goals in 377 appearances for the Gunners, has worked as a television pundit since retiring as a player in 2014 but has designs on a move into the dugout.
And, as he spends time with Arsenal's youth squads, Henry - tipped by some to eventually succeed Wenger at the Emirates Stadium - says the wisdom imparted on him by the long-serving coach has proved invaluable.
"[Wenger and I] sit sometimes, obviously he has a lot on his plate," Henry told Arsenal Magazine. "We speak about training youngsters and how it's different to training senior players. We talk about being a manager, we talk about players from the academy.
"I will ask him questions on how to deal with certain situations.
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"I'm obtaining my badges right now with the Welsh FA and looking to gain the A-licence. It goes without saying that I asked Arsenal if I could do that with them and be involved with the team.
"I asked the boss and he said to come, train with the Under-18s and 19s and help conduct sessions. I'm just an assistant at the minute, I'm not a coach but it's great, as you can imagine.
"It's the place I love, there's so much emotion for me here so this was always going to be where I wanted to start my coaching.
"I have a certain view of how I would like teams to play but it's one thing to have a view and another to try and execute it. For example, are you still going to maintain that philosophy if you've lost two or three games, while fans are upset, the press is having a go and players are storming into your office?
"It's all stuff I'm learning. How to stay strong, how to remain in the same direction despite enduring problems."