Henry watched his old side scrape through to the knockout stages after losing 2-0 to Napoli.
Speaking as a pundit on Sky Sports, Henry said: "If you win the Champions League you have to go through the teams.
When asked who Arsenal will most want to avoid, Henry said: "Atletico don't give you one centimetre.
"I'm saying Atletico because I had to choose one to not play against.
"But basically you don't want to play against all those teams."
For breaking stories and all the great banter like us on Facebook: facebook.com/tribalfootball