Henry recently left his position at Sky Sports, stating his ambition to become a football manager.
Wenger was asked in an interview with French outlet RTL about the prospects of both men becoming great football managers.
"Often, I'm asked if Thierry Henry and Patrick Vieira will be good managers and I always answer yes," he responded.
"They have all the qualities; they're intelligent, they know football, they have excellent skillset, but do they want to sacrifice what needs to be sacrificed. It's an obsession which bounces around your head day and night.
"You wake up at 3am thinking about team selection, tactics, formation…"