The 34-year old, who now plays for New York Red Bulls, enjoyed a successful spell on loan at the Gunners in January last season during the MLS off-season.
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"I don't know how, it depends," Henry was quoted as saying by The Telegraph. "Seriously, I don't know. I just want to finish my career [first]. I would go back to England, for sure, with Arsenal. Coaching does interest me but I really don't think about it right now.
"I don't plan to go back [again to play for Arsenal] and I didn't plan to go back and play last time.
"It was only because of the guys [strikers Gervinho and Marouanne Chamakh] went to the African Cup of Nations. They asked if I wanted to play, and that's it. I was there to train."
Henry also refused to discuss the future of former team-mate Robin van Persie as he looks set to leave the Emirates.
He added: "I've nothing to say about it. They have to deal with it and that's just the way it is...It's a hard one. I don't want to get involved into this kind of thing.
"It's a tricky one but obviously I don't know what's happening. It's difficult for me to talk about it."