Arsenal and the Red Bulls confirmed on Thursday they will play a friendly on July 26 as part of the English club's maiden tour of the United States.
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"It'll be weird. I know it's a friendly game, I know it's this, I know it's that. It's going to be weird for me," the 36-year-old Frenchman told reporters.
"Whenever I have to face Arsenal, it's a weird one. I've had to do it once with Barcelona, we went to play the Emirates Cup in London and now they are coming here.
"So, it will be kind of weird, especially when you know that our fans are going to be there but I won't be mad if people come here only to see Arsenal.
"It's a team that you don't see often, but it's going to be weird obviously. I see that jersey and I'm not wearing it, it feels weird."
Henry added he is over the moon Arsenal decided to tour the USA, following in the footsteps of other Premier League clubs such as Chelsea and Manchester City.
"Recently they have been going to Asia, so I said to myself why don't they come to the US?" Henry said.
"They are the only team from the Premiership who didn't come, so when I found out it was for real, obviously when I was there, I was asking some questions and they did let me know that it might happen.
"So I was obviously over the moon as you can imagine, and excited."