The Frenchman came on midway through the second half at the Emirates for his second Arsenal debut and proved to be the matchwinner with the only goal of the game.
"It's kind of weird," he told ESPN.
"I came back from holiday 15 days ago. I never thought I was going to play for Arsenal again or score a winner.
"I don't know what to say. I love the club and I hope I can do more.
"I hope it won't be the last one. The feeling I had when I scored was amazing.
"I rejoined the club as a fan; before I wasn't. Scoring a goal when you support the team, now I know how some of the guys who played for Liverpool or Man United or Chelsea felt when they scored a goal for the club they support.
"With one opportunity, it's very important, you don't know if you'll have a second. You have to make sure you take it. I took it well."
Henry may have been away from England since 2007 but he continued where he left off against Leeds, scoring his 12th goal in as many games against the Elland Road side.
"I didn't even think about that but I think I will always remember tonight," he said.
"When it comes to Arsenal something happens with me, sometimes in a bad way but most of the time in history in a good way."
On being named man of the match, he added: "I think it's a joke, but I'll take it."