Wenger believes the AS Monaco job came too soon for his former Gunners striker, with Henry lasting in the job only a matter of months.
He told RMC: "Monaco was in the middle of an extremely difficult season. He didn't have enough experience to handle the situation. I think it's good that he went to MLS to recover his health and that he is given time.
"When you are a player, you are always concerned with your performance, your last game, how you feel. Coach, it's the opposite. You put everyone before you. It doesn't happen overnight. For the attackers, they have even more responsibilities, ego, it takes time.
"But he's very smart. He likes it so much that I'm optimistic."