Henry has struggled in his managerial career, not lasting very long in the hotseat at Monaco last season.
But he still believes that he could one day manage at the club where he enjoyed the best years of his glittering career.
The Gunners are currently being coached by former player Mikel Arteta, which is proof that Henry could one day get the same chance.
But he would have to show his coaching pedigree at other jobs in the meantime.
"I do dream of managing Arsenal but I also dream of running up the court and doing a slam dunk. It doesn't mean it'll happen," he told French outlet Canal Plus.
"But yes, I'll want to manage Arsenal until the day I die."