"He is captain and the most outstanding personality, it would not be good," Rosicky said when questioned on the reports surrounding Henry's future by the Czech newspaper Sport.
"The same may be said about (Robin) van Persie. They both know how to score goals and I think they might be stars of the entire season."
The future of manager Wenger - who has just a year left to run on his contract - has also been called into question.
The French coach, 57, however, has reiterated he has no intention of walking away from the club just yet in the wake of the shock departure of former vice-chairman and close friend David Dein.
"The manager told us when we were leaving that he has a contract for another year and that he will fulfil it and will continue in the next season," said Rosicky, 26.
"This is all and I hope that it will remain the same."
Rosicky added: "We have an entire season in front of us, I believe we will be successful and he will stay. I believe in it."