Henry could join Arsenal on a short-term loan.
"That's why I have Christmas Day off - I have to think about that," said Wenger.
"Short-term is ideal for us, but I haven't made any enquiry yet. Thierry is not here at the moment. It has never come up in conversation!
"The first of January is the vital date for us. We have seven days to make decisions and I will make a decision in the next seven days on players."