The former France international scored 226 goals in 369 appearances for Arsenal between 1999 and 2007, before returning for a two-month loan spell in 2012 from his current club, New York Red Bulls.
Henry won seven trophies in his time in north London, but the Gunners have failed to win any silverware since 2005.
However, Arsenal are currently top of the Premier League table after 21 games and Henry believes this could be the year for his former side.
"I still watch Arsenal a lot," he said at an event in Barcelona. "They have had a great start to the season and I hope they can keep it up. I would be really happy if they won the Premier League."
Henry also paid tribute to former boss Wenger, who signed him from Juventus in 1999.
"He changed the philosophy of the club," the 36-year-old said. "He won stuff as soon as he arrived and therefore he earned the trust of the fans and the respect of everyone."
The striker left Arsenal in 2007 to join Barcelona, where he was part of the treble-winning side of 2008-09 under Pep Guardiola.
