Henry and his representatives have been quick to deny that he has already hammered out a deal with Spanish giants Barcelona.
The Frenchman is a proud and honourable man and he was disappointed at what he sees as the Spanish club's underhand tactics.
Henry branded Barca's claims as "absolutely rubbish", but said he could do nothing to prevent "rumours" about his future escalating.
He admitted last week it was "great and nice" to hear Milan coach Carlo Ancelotti say he wanted to sign him.
But there is still a strong feeling Henry will stay at the Emirates as long as mentor Arsene Wenger remains at the club.