The striker rose to prominence with the Gunners before moving to Spanish giants Barcelona, and then on to New York Red Bulls.
His four-and-a-half year contract with the MLS side recently came to an end and he has decided against prolonging his stay in North America.
“That’s the wish. Christmas is arriving soon, so it’s a wish,” Henry told??ESPN.
“It’s not something that’s going to happen like this. It is a wish. Everybody knows how much I love the club, my feeling about it. It is a wish right now.
“I’m not trying to get out of the question, but it’s only a day now (since I announced my departure), so, yeah, it is a wish.”
Henry added that while he enjoyed his time in New York, he had always intended to leave after his contract expired.
Arsene Wenger, who also managed Henry at Monaco, said on Tuesday that he expects his former player to return to London but did not specify in what capacity. Wenger added that he believes Henry would make a good manager.