The Gunners suffered a disappointing 2-1 loss to Newcastle United on Sunday to further dent their Premier League campaign and leave Arsenal in sixth place in the table.
The north London side are now only two points ahead of seventh-placed Burnley with five games left to play this season.
Arsenal still have hope of qualifying for next season’s Champions League by winning the Europa League this season.
However, the Gunners will have to make their way past Spanish giants Atletico Madrid in the Europa League semi-finals later this month.
And former Arsenal star Henry has warned the Gunners that their season is close to unravelling completely.
Speaking to Sky Sports on Sunday, Henry said: “I said two weeks ago, Burnley are only two points behind Arsenal and people were like, ‘Come on, relax’. No, I can’t relax because they are really two points behind Arsenal.
“It is kind of a weird one because you want to put all our focus on the Europa League and it was great to see Joe Willock today and Reiss Nelson the other week – you want to see youngsters, – but at the minute, you can’t really play on ‘we can rotate and have it easy in the league’ while thinking about the Europa League.
“If they go out to Atletico Madrid, suddenly you’re fighting with Burnley – what an amazing job that Sean Dyche has done by the way – and you’re out of everything.
“I don’t think that will happen – maybe it’s my Arsenal side coming out – but [Wenger] rested some good players today and ended up losing the game. You need to think carefully about how you are going to play those last few games.”
Arsenal will return to Premier League action on Sunday with a clash against West Ham United, before the Gunners switch their attention to the first leg of their Europa League semi-final tie against Atletico Madrid at The Emirates on Thursday 26 April.
The north London side finished in fifth place in the table last season as they missed out on Champions League qualification.
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