Danny Welbeck netted the winner as the north London side came from a goal down to beat the 10-man Foxes at Emirates Stadium after a thrilling game to close the gap to the leaders down to two points.
However, Arsenal dropped back down into third place in the Premier League table after Tottenham were 2-1 winners over Manchester City later on Sunday.
Arsenal’s next Premier League game is a trip to Manchester United on Sunday 28 February.
And former Gunners striker Henry has stressed how important it is that Arsenal build on Sunday’s win at Old Trafford to boost their title hopes.
Speaking on Sky Sports after Sunday’s game, Henry said: “The game at Old Trafford is going to be massive.
“If you go out there and lose, straight away you might find yourself five points behind Leicester or three behind Tottenham.
“They have to build on what we’ve just seen. Can they do it? It’s up to them.”
Arsenal, who finished third and won the FA Cup last season, have not won the Premier League since their famous unbeaten triumph in the 2003-04 season.
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