The Gunners legend - who took part in his old club's 125th anniversary celebrations last week, during which a statue of Henry was unveiled - is back in north London to maintain his fitness levels ahead of his third MLS campaign with New York Red Bulls.
With Marouane Chamakh and Gervinho set for African Cup of Nations duty in the New Year, there have already been calls for Wenger to add to his forward line to help ease the pressure on club captain Robin Van Persie.
And whilst the frugal Frenchman admits he may be forced into the transfer market again, he revealed that fans' favourite Henry is not necessarily on his radar.
"I haven't even investigated that," said Wenger. "I cannot tell you even if there is a chance because I haven't even made any approach, not to him nor his club.
"I do not always master all my thoughts so it has to come through my brain at some stage but I haven't been concrete on the case."
After a busy summer in the transfer market, Arsenal's new-look squad took time to settle, but are now challenging strongly in the Barclays Premier League and the UEFA Champions League, and Wenger praised his squad of players.
"I am personally completely happy with the team I have," he added.
"Gervinho has come in, [and] we were lucky to find Mikel Arteta, who could come into this position in midfield. That was not easy as well."