Henry, now playing in Major League Soccer (MLS) with the New York Red Bulls, is Arsenal's all-time leading scorer with 226 goals but left the club for Barcelona in 2007 and moved to the U.S. after three seasons in Spain.
"I love the club. Unfortunately we know I had to leave the club, for reasons I have explained many times, but although I left Arsenal you never really leave Arsenal," he told Reuters in an interview.
"Whenever I go back I feel like I have gone home, it's a big family and I became a fan of the club.
"I knew what it was like to beat Manchester United, I knew what it meant to the fans when we were playing against Tottenham, I knew all that, you don't get that from one or two years, you need to live and breathe Arsenal to understand that."
Henry trained with Arsenal, who lost to Birmingham City in Sunday's League Cup Final, during the U.S. off-season in January and maintains a close friendship with manager Arsene Wenger.
Arsenal were expected to win a first trophy since 2005 on Sunday, only to stumble against Birmingham, but Henry says Wenger would be a tough act to follow when the Frenchman, the club's manager since 1996, eventually moves on.
However, he would like his name to be in the frame.
"It goes without saying, I would love to go back there. I hope one day I can go back, I love that club and I just want to give as much as possible to this club, after what that club gave me," Henry, who missed Arsenal's FA Cup win over Manchester United six years ago because of injury, said.
"I know that the day Arsene leaves is going to be a difficult one, I don't know who can replace him. That is going to be hard. Not only the winning part of it but what he was and what he is for the club and the way he transformed the club.
"Dennis Bergkamp, Patrick Vieira amd Tony Adams were all part of it and I am sure if you ask them if they would like to come back and do something with the club they would all tell you yes. But if one day, they want me, I have joked if I go back to be the kit man or the water boy, I don't mind, I just want to be back one day. When I don't know - I just want to be back."
ATTACKING MENTALITY
While the silverware has dried up, Henry said Wenger's legacy would be about stylish football as much as trophies.
"If you talk to any Arsenal fan, or even non-Arsenal fan, they will tell you they will watch Arsenal because they know they are going to see a football game," he said. "No disrespect to other clubs but they will enjoy watching the game.
"That is what Johan Cruyff did for Barcelona too - he brought that attacking mentality, that Dutch way, playing with wingers, playing the ball on the ground and Arsene did the same.
"To do that you have also to give credit to the club because you need your manager to be there for a long time, you can't have a manager for five years and expect him to put his identity on the club.
"Arsene did that, he won but the club was also intelligent enough to see what he was doing and give him time to build something and now everybody talks about the 'Ar
