It is understood that Wenger would attempt to sign Henry as an emergency player only if star striker Robin van Persie suffers an injury over the Festive period.
Asked whether Henry could sign on loan, Wenger said: "At the moment, Thierry Henry just practices with us. I haven't even investigated that.
"I cannot tell you even if there is a chance because I haven't even made any approach, not to him nor his club."
But asked whether Henry is good enough to play again in the Premier League, Wenger replied: "Yes."