Henry is set to make his second Gunners debut in Monday's FA Cup third-round tie against Leeds after signing a short-term loan deal from the New York Red Bulls.
Keown believes Henry, despite now being 34, could come close to being the player Arsenal fans idolised during his first spell at the club.
"I see he is almost living the dream. As an ex-player I have what I call footballing dreams, where I wake up and have to convince myself I am not playing anymore," said ESPN football analyst Keown, who is working with the broadcaster as part of their FA Cup coverage this weekend.
"Thierry is doing it for real. As an ex-player I have enjoyed watching Sol Campbell come back to Arsenal and Jens Lehmann come back.
"Both served a purpose and did very well and I am sure Thierry can do the same.
"We shouldn't expect him to be quite the player he was but I think he can get close to it. He will have an inner belief he can still achieve something.
"He is an intelligent man. You have seen it with Ryan Giggs. The very good players adapt and they find a way to be successful. It will be a treat for the fans."
Keown twice won the Barclays Premier League with Henry and twice won the FA Cup - and he knew as soon as the Frenchman signed from Juventus in 1999 Arsenal had a superstar in their midst.
"I remember his first goal. I ran the length of the pitch to tell him 'I was here when you scored your first goal for Arsenal because there is something special that is going to happen'," Keown recalled.
"He looked at me like 'what is wrong with you?'. I said: 'I will be telling my kids I was there, Southampton away.
"I saw that when I played for England with Steven Gerrard, you are in the company of great players.
"It all came true. I have never seen an athlete as outstanding as he was.
"Eventually he found a rhythm and a technique to go with that athleticism.
"I can remember saying he could play as a full-back well into his 40s because he was so much quicker than anybody else."