Henry spent eight trophy-laden years at the club between 1999 and 2007 before returning for a brief loan spell in 2012.
And the club's record goalscorer has been taking a role in coaching Arsenal's young players, something Wenger believes can only be a productive venture.
"Thierry Henry is making his first steps as a coach," he said on Friday.
"It's good for our youngsters to be coached by him. He's been here once or twice.
"All our former players are welcome to come back here and get their coaching badges. We're happy to have him."
Ahead of Saturday's Premier League trip to Crystal Palace, Wenger suggested that Jack Wilshere could come back into contention for selection after missing the last three months with an ankle problem.
"He is a bit ahead of schedule because he has worked hard," the manager said.
"I cannot tell you whether Jack Wilshere will start. I've not picked the team definitely. It's difficult to come back immediately."
Wenger also confirmed the game at Selhurst Park will come too soon for Alex Oxlade-Chamberlain and Aaron Ramsey, while Hector Bellerin is to be monitored later on Friday.
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