Ligue 1 club Monaco announced on Saturday that Henry would succeed Leonardo Jardim and take up his first head coaching role with the club where he started his professional playing career.
Henry spent the bulk of his playing days under Wenger, another former Monaco boss, at Arsenal and the 68-year-old Frenchman is pleased one of his old clubs have turned to his former charge.
However, Wenger, who spent 22 years at Arsenal before leaving at the end of the 2017-18 season, knows Henry must be prepared to dedicate everything to the job.
"Of course, Thierry Henry is a good choice," said Wenger, who was speaking after coaching one of the teams in Per Mertesacker's farewell match in Hannover.
"He has a lot of credibility. He is very intelligent and understands football pretty well. That's why he has everything it needs, like a lot of players on this level.
"But when you get started you must have a little bit luck, too. He is going to need a good attitude and he will have to make sacrifices. You have to sacrifice your whole life."