The Gunners' record goalscorer had rejoined the club he left for Barcelona in 2007 on a short-term loan deal from New York Red Bulls - and did not disappoint on his second debut when he came off the bench to slot home on 78 minutes as the resistance of the npower Championship club was finally broken.
Henry, 34, will be available for a six-week spell which will take in matches against Manchester United and, in the Champions League, AC Milan, possibly even the showdown with arch-rivals Tottenham on February 26.
Given Monday night's 20 minute cameo masterclass, that could just be the spark Arsenal need to push on towards a successful end to a season which started so badly.
Wenger said: "It was a little bit of a dream, because it was a story about football you would tell some young children.
"Unfortunately it is not often like that in our game, but sometimes it happens."
The Arsenal manager continued: "When he got in that position I thought 'oh, that's your angle', but it was a bit too close. That is where he surprised me.
"He still didn't force the shot, he still made it look easy.
"At the start I thought he was too much on the left, but he had that special finishing that he has shown tonight [Monday night]. That was the Thierry Henry finishing."
Only last month, Henry attended the unveiling of a bronze statue of himself outside Emirates Stadium as part of the club's 125th anniversary celebrations.
The veteran World Cup winner never envisaged making such a fairytale return.
"I came back from holiday 15 days ago. I never thought I was going to play for Arsenal again or score a winner," Henry said on ESPN.
"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."
Henry added: "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.
"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."
Wenger had rested captain Robin van Persie for Monday night's tie, allowing the Dutchman some time away on a family break to Dubai.
The Gunners boss could throw both the dynamic front men together when the Barclays Premier League campaign resumes at Swansea on Sunday.
"Thierry can play behind or in front of Robin or on the flank, Robin can play on the flank too, but I don't know yet what I will do. They can play together, of course, and they did play together," said Wenger.
Arsenal lost another defender on Monday night when Francis Coquelin limped off with a hamstring problem.
Wenger is looking to bring in some cover at the back.
He said: I "I hope I can get [Johan] Djourou [from suspension] for Sunday and if we find a solution we will take it. But at the moment we are not close [to a deal]."
Leeds manager Simon Grayson felt his battling side could take a lot of credit from Monday night's performance.
"We defended well with good shape and desire, we had a fantastic attitude," he said.
"It was probably written in the stars what was going to happen with Henry.
"Thierry has shown that class so many times, and you know he can do something out of nothing.
"I just wish he had signed for Arsenal a week ago, then we would not have had all this furore ahead of tonight's [Monday night's] game."
Grayson, whose team are just outside the Championship play-offs, added: "We have come out of this with a great deal of credit and after their goal, we still had opportunities.
"The players can be proud of what they have done tonight [Monday night] and we can leave with our heads held high."