Henry, who spent eight successful years at Arsenal, after being signed from Juventus in 1999, said that one day he'll finally return to Arsenal.
After an unsuccessful year at Juve, eyebrows were raised when Wenger offered £11m to sign.
Wenger transformed Henry from a struggling wide player into one of the most prolific strikers to have played in the Premier League.
He scored a record 226 goals in 364 appearances for Arsenal before moving to Barcelona, but Henry, 32, admits his heart will always belong to the Gunners.
He said: "I'm trying to finish what I started nearly 15 years ago but we will see. I always said you go back to where you belong. I never stopped saying I love Arsenal and I will one day go back there.
"How? I don't now. Maybe as a water boy. Who knows? I just love the club and eventually one day I will go back for sure.
"It was always a pleasure to play and train with Wenger. He is a great human being on top of everything. I'll be honest, I really don't see Arsenal without Wenger.
"Before I came to Arsenal I was very down but Arsene Wenger was there and he knows how the game should be played and the rest, as they say, is history.
"He only knows how much time he invested in me and many others. I still talk to him and watch Arsenal on TV."