The 34-year-old, playing the final Barclays Premier League game of his loan spell from the New York Red Bulls, stabbed home Andrey Arshavin's injury-time cross to claim the points at the Stadium of Light.
"He finished the story of the legend today [Saturday] in the championship. I hope he will add some in the Champions League on Wednesday," he said.
"But certainly, he got us the three points in a very difficult game."
That goal alone went much of the way to justifying Wenger's decision to bring Henry back to Emirates Stadium, although the manager joked it might also have come back to haunt him.
He said: "I felt it might haunt me as well because he goes again and people will say, 'Why did he not stay?'.
"It shows you as well that they never lose it, these players, exceptional talent survives.
"You have that at the moment with Giggs at Manchester United and Scholes, and Thierry Henry here.
"It's just a luxury to have a player like him on the bench."
Asked if Henry, who is available for the midweek Champions League trip to AC Milan, but will return to the United States the following day, could come back next season, Wenger replied: "We will see next year. Maybe he might want to stop at some stage as well."
The Frenchman snatched victory in the first minute of stoppage time to finally see off a spirited Sunderland.
Martin O'Neill's men had taken the lead when James McClean took advantage of Per Mertesacker's 70th-minute slip to run in on goal and fire past Wojciech Szczesny, although he could not have known the German had collapsed in agony after catching his studs in the turf.
Mertesacker, who had survived concerted first-half appeals for a penalty, was eventually replaced by Aaron Ramsey, who made his mark within minutes when he blasted home an equaliser off both posts to set up a fascinating final 15 minutes.
Wenger confirmed that Mertesacker is out of the game in Milan with ankle ligament damage, the extent of which is yet to be determined, although he had no criticism of McClean for playing on.
He said: "I thought about it during the game after they scored, but you cannot demand that because you do not know if the guy has gone down through injury or because he slipped.
"It's just in the action, you cannot demand to stop."
For Sunderland boss O'Neill, it was just the third defeat of his 14-game reign with the others coming at Tottenham and Chelsea.
He said: "It was obviously disappointing to lose the goal, but I have no complaints about the team whatsoever.
"The last couple of months, their heart and soul has gone into the game.
"We are just obviously disappointed to lose from a winning position."
O'Neill was unhappy with the fact that Henry had the opportunity to win the game at the death, but saluted the striker's enduring potency.
He said: "He's been a terrific player in his time here - and he hasn't done too badly second time around as well.
"But he shouldn't really be able to score from a couple of yards out when it is kind of lobbed into our penalty area."