The Gunners legend returned to the club in January to help ease the pressure on Emirates Stadium top scorer Robin van Persie.
The absence of Marouane Chamakh and Gervinho also added to the need for attacking support, but those two will be available again by next week and Wenger felt it would be unfair on the MLS side to keep him any longer.
“Thierry will return on February 16, the day after AC Milan,” the Frenchman told the press conference ahead of Saturday’s game away at Sunderland.
The Arsenal chief expressed his wish to have the club’s all-time top scorer for a little while linger but felt it was important to keep the good faith between the north Londoners and the New York side.
“I would have loved Thierry to stay for two more weeks but he has to go back. It's only fair on New York,” Wenger added.
Henry made a fairytale return to the club where he had his greatest success, coming off of the bench to score the winner against Leeds United in the FA Cup third round.
He also scored the final goal in last weekend’s 7-1 mauling of Blackburn Rovers, but the return of Chamakh and, next week, Gervinho from the Africa Cup of Nations means the Gunners will have a their full compliment of attackers.