Henry, 34, who originally played for Arsenal from 1999 until 2007, scoring a record 226 goals, rejoined the club on January 6 but will go back his Major League Soccer club next Thursday, the day after Arsenal play AC Milan in the first leg of the Champions League round of 16.
"I would have loved him to stay for two more weeks but he has to go back," Wenger told reporters. "He is captain of the Red Bulls, so just to appear on the first day of the season would be unfair to them."
Red Bulls start their new season on March 11 and Wenger said the French striker had to return in time for their pre-season training.
"We accepted at the start that we would release him on February 16 so we respect our word. He thinks as well that it would be too late [if he stayed another two weeks]."
Wenger said he was delighted with the impact the club's former skipper had made during his time back with Arsenal, both on and off the pitch.
"He was happy to be here and all the players were happy to have him around," he said.
"In training he looks better every week. He is now back to a fitness level comparable to all the other players. His movement in training makes me think it is a shame he does not play for the national team anymore."
Henry has scored twice in five games during his loan, taking his all-time tally to 228 goals, meaning the inscription on his recently unveiled statue outside the Emirates Stadium will have to be updated.
He could even add to that tally as Arsenal play two matches before he leaves. They face Sunderland in the Premier League this weekend before the Champions League game against Milan.
Wenger also dismissed speculation that Russian striker Andrei Arshavin was on his way out of the club, saying he expected him to still be at Arsenal after the close of the Russian transfer window on February 24.
"I expect him to still be here, that is clear," he said.
