The Gunners legend was speaking to Spanish newspaper El Mundo Deportivo when he admitted that he plans to return to London at some stage.
He said: "I have one more year of my contract and I still feel good and in shape. I enjoy the game, so at the end of this year we'll see.
"You notice when it's time to go. When I get that feeling I'll leave it. And when I leave I think that in some way I will continue to be linked to football.
"I'm very comfortable in New York, but my life is in London. There I have my daughter, my house. I think that my future is there, but in these moments I do not know it."
The former-Arsenal striker is contracted for one more season with the New York Red Bulls, and is currently undecided as to whether to retire or extend his Red Bulls deal.
He has spoken in the past of returning to London and coaching with Arsenal - although he said he is far too respectful to talk about the Gunners' manager job while Arsene Wenger remains in charge.
Henry, 36, is Arsenal's record goalscorer with a total of 228 from 376 games between 1999 and 2007 plus a brief stint in 2012.
Arsenal progressed to the sixth round of the FA Cup at the weekend, beating Liverpool 2-1 at the Emirates Stadium to set up a quarter-final clash with Everton.