Both 36-year-old Henry - now playing for the New York Red Bulls in the United States - and former midfielder Robert Pires, who turned 40 last month, have been using the Gunners' Hertfordshire base to help keep up their fitness levels.
Henry, Arsenal's all-time record scorer with 228, returned to Arsenal for a loan spell in January 2012.
Wenger, however, insists there are no plans for a repeat move this season.
"At the moment Thierry is invited just to practise when he can and when he wants," said the Arsenal manager.
"We have a big staff, a very competent one, and we have the right number to support the team to achieve the targets.
"Thierry is a player, one day certainly it will be different, but at the moment no."
Henry signed from Juventus in 1999 and went on to help the Gunners to Premier League success as part of Arsene Wenger's Invincibles side of 2003/2004 before leaving for Barcelona in the summer of 2007.
During his loan spell last year, Henry scored both against Leeds in the FA Cup and then a winner in stoppage-time at Sunderland on his last appearance.
The presence of such inspirational former players can only have a positive impact on the current squad, who moved four points clear at the top of the Barclays Premier League with victory over Southampton on Saturday.
Wenger said: "They have no real target to bring something, they just want to enjoy themselves and keep their fitness.
"Usually they don't practise with the first team, because they come in and work on fitness.
"It is a little bit less competitive, but when we have some room we invite them to play with us.
"They integrate well [with] the spirit of the team."
Source: PA
Source: PA