Aubameyang's future at Arsenal is uncertain, with the Gunners captain yet to sign a contract extension with his current deal expiring in 2021.
Speaking to Sky Sports on Thursday morning, Henry said: "Everybody will do what they have to do. How am I going to tell someone to stay when I left?
"As an Arsenal fan, you want him to stay, but as a football player, he will assess the situation with his family, with his dad who I know also and will see what's the best for them.
"If you're an Arsenal man, you don't want him to leave but also the guy has a career.
"I don't know what's in his head and where he wants to go, but all I know is that we are definitely going to miss his goals if he does leave."