New York Red Bulls striker Henry training with the Gunners this month.
"Of course Theo will benefit, from speaking with him, from getting advice," the manager told arsenal.com.
"In front of goal, Thierry was somebody who was very sharp. He can give you good advice because he analysed the defenders very well. He knew the weakness of every defender in the back four in the first ten minutes of every game."
Henry was in good spirits as he trained with the Arsenal squad on Friday morning and Wenger enjoys having him around.
"We are always happy to have him back because still he has the quality to play at the top level," said Wenger.
"I think he enjoys it and the players playing with him are enjoying having him with us. He is an Arsenal man and it is a good experience for him and for us.
"I helped Thierry start his professional career at the age of 17 so I don't need him back here to know what his strengths are, his many strengths. Of course it's good to have him back."