Henry was a Gunners hero during his eight-year stint at the club - producing plenty of memorable moments during his time in north London and breaking Ian Wright's goalscoring record.
"It doesn't matter what happens with my new club, I will never find the same affection that I was shown at Arsenal, partly because I think I will never play for another squad for eight years - my legs won't let me," he told Sky Italia.
"To play for Arsenal for eight years, winning or losing at Highbury, the joy, the sadness, everything was simply incredible.
"You often return to the place that you belong and, therefore, I hope one day to be able to work with the club.
"I have the club in my blood - I always follow Arsenal when they play and I'm happy when they win.