Henry, who now plays for American side the New York Red Bulls, and 40-year-old former midfielder Robert Pires have both been using Arsenal's training base north of London to maintain their fitness levels.
Henry, Arsenal's all-time leading scorer with 228 goals, rejoined the club for a loan spell in January last year, but Wenger says there are no plans to bring the 36-year-old back again.
"At the moment Thierry is invited just to practise when he can and when he wants," Wenger said.
"We have a big staff, a very competent one, and we have the right number to support the team to achieve the targets."
Wenger said the presence of Henry and Pires, both members of Arsenal's fabled 'Invincibles' side of 2003-04, had a positive impact on the members of the current squad.
"They have no real target to bring something; they just want to enjoy themselves and keep their fitness," said Wenger, whose side moved four points clear in the Premier League after beating Southampton 2-0 on Saturday.
"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."
Henry's first spell in north London from 1999 to 2007 saw him win the Premier League twice, three FA Cups and reach the 2006 Champions League final, where Arsenal lost 2-1 to Barcelona.
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