Henry will now return to New York Red Bulls as his loan has come to an end and Arsene Wenger was unable to convince the MLS side to extend it.
The Gunners face a tough trip to Sunderland tomorrow and the Arsenal goal scoring record holder believes a win at the Stadium of Light could spark a run to the final and the club’s first trophy since 2005.
“This team is not far from winning something, we all know it,” the Frenchman told the official Arsenal website.
“If you can win at Sunderland, you don't know how the draw is going to be. You might play at home next, then the semi-finals are around the corner.”
Henry was optimistic about the effect on the north Londoners of the return to fitness of Jack Wilshere and Abou Diaby in the coming weeks.
The striker feels that Wilshere’s importance to the team now and in the future cannot be underestimated, such is the importance of getting the young England midfielder back fit.
“You never know if Jack is going to come back and Abou Diaby is not far from coming back,” he added.
“You don't know what could happen. If you are still in the competition then those players coming back will only help you find top form.
“Hopefully the team can stay in the competition, even though it will be tough at Sunderland. Jack, Abou, you want them around.
“Jack is going to be, hopefully for the Club, a talisman in years to come. He grew up an Arsenal fan so it is important to have a guy like that in the dressing room. We will see.”
The game against the Black Cats takes place just a week after Arsenal were triumphant there in the Premier League.
Henry scored a last-gasp winner in that game after Aaron Ramsey had cancelled out James McLean’s opener for the Mackems.
Per Mertesacker will be missing from the tie after he was ruled out for a lengthy period due to having reconstructive surgery on damaged ankle ligaments.