The 63-year-old has come under increasing pressure in recent seasons due to the north London side’s dealings in the transfer market and their failure to win silverware.
The New York Red Bulls striker won two Premier League titles and the FA Cup three times after being signed by Wenger in 1999, and Henry has defended his former manager’s record at Arsenal.
“When you don’t win people are always going to question your work, your legacy and what you did before,” said Henry.
“It is sad somehow but that is the way the game is. What are you going to do?
“For me, it is difficult to hear, difficult to see, but for me the boss will always be Arsène – always great for me and I know what he has done for the club.”
Henry also expressed his desire to be involved in some capacity at Arsenal in the future after returning to train with the club during the MLS close season this winter.
“All I know is that I will be involved in the game for sure and hopefully be involved with Arsenal because that is the heart talking there, that’s the team that I support. Forget about me as a player, that’s the team I support,” he added.
“In any type or shape, if I can go back to the club I would love to do it, but it’s not up to me.”