The Gunners are currently in sixth spot in the Premier League table and eight points adrift of defending champions Manchester City in fourth place.
Arsenal lost 2-0 to Leicester City at the King Power Stadium last weekend following goals from Jamie Vardy and James Maddison.
The north London side have only managed to win one of their last six Premier League games to heap pressure on Gunners boss Unai Emery.
Arsenal are nine points adrift of Leicester City and Chelsea FC, who appear to be the most likely candidates to claim the final two top-four spots.
Former Gunners striker Henry is still attempting to remain optimistic that Arsenal can secure a long-awaited return to the Champions League.
“For me, as a fan, I would like us to get back into the top four and get Champions League football back at the Emirates.” Henry told Yahoo Sport.
“Right now, it looks like not just us who are struggling but also United and Tottenham are struggling, so you have to hope we can go on a run.”
Henry added: “What do they need to change? I’m not in the dressing room every day to know what is happening in training. That’s the job of Emery or whoever is in charge.
“As a fan, I would like to see them back in the Champions League, that will be a start because catching Liverpool at the minute seems very complicated. Even for Manchester City. Let’s see where we can finish at the end of the season.”
Arsenal will have the opportunity to restore some feel-good factor at The Emirates when the Gunners take on Premier League strugglers Southampton in their next fixture on Saturday 23 November.
The Gunners signed six new players in the summer transfer window as Emery looked to bolster his squad ahead of a potential top-four challenge.
Arsenal snapped up Gabriel Martinelli, William Saliba, Dani Ceballos, Kieran Tierney, David Luiz and Nicolas Pepe in the summer.
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