Wenger has been in charge at Arsenal for over 16 years and has won three Premier League titles but the most recent was back in 2004 when Henry was the league's top scorer with 30 goals.
The French forward, who plays for New York Red Bulls, has heard some of the criticism of Wenger from fans and pundits this season as Arsenal have struggled to keep pace with the title-chasing Manchester clubs United and City.
"When you don't win people are always going to question your work, your legacy and what you did before. It is sad somehow but that is the way the game is. What are you going to do? " Henry told Reuters in an interview.
"For me, it is difficult to hear, difficult to see, but for me the boss will always be Arsene - always great for me and I know what he has done for the club," he said.
Although the questioning of Wenger's transfer market strategy has faded recently with Arsenal winning three of their last four games to move within four points of fourth-placed local rivals Tottenham Hotspur, Henry knows that can change.
But the striker, who enjoyed eight seasons with Arsenal scoring 175 goals, believes the 63-year-old Frenchman deserves more respect for his achievements at the north London club.
"You are always going to get judged on your last performance or what you are doing at the moment (but) for me it is kind of hard to criticise Arsene Wenger, knowing what he has done for the club, how he has changed the club and how the team is playing right now compared to how the team was playing before.
"But if you don't win people are always going to create a problem," he added.
Henry, who had a loan spell at Arsenal last year in the MLS close season and spent time training with the club this year, said he would love to return in some capacity in the future.
"All I know is that I will be involved in the game for sure and hopefully be involved with Arsenal because that is the heart talking there, that's the team that I support. Forget about me as a player, that's the team I support," he said.
"In any type or shape, if I can go back to the club I would love to do it, but it's not up to me. That would be a desire, more a desire than something that can be officialised, I still have two years playing here and then I will see.
"But I would definitely love to be back with Arsenal," he said.
The Red Bulls kick off their MLS season at the Portland Timbers on March 3 and Henry hopes his team can finally win a title after seeing L.A. Galaxy win the past two championships.
"Last year all went home being sad. Whether you make the playoffs or you don't, the most important thing is to win," said Henry.
"There is only one winner, one team that is going to go home happy, so that was again L.A. So we're going to have to try to fight hard and to perform," he said.
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