The Frenchman recently stepped down as coach of CF Montreal due to family reasons.
Henry told FourFourTwo: "Whenever I see a coach, I always speak to them. Obviously, I speak to Pep, and I speak to Arsene whenever I can reach him. We speak because when I was a player and he was a coach, I was chewing his ear out. Now as a coach I want to know things.
"Arsene triggered my brain – I needed that at the time.
"I needed to be more confident, to realise what type of player I was and what I could do. I started to ask myself the right questions. I always blamed others, but I began to blame myself first.
"I started to see how I could help others instead of saying to others, 'Hey, you need to help me'."