Arsenal ended months of uncertainty over Wenger's future by announcing today that the Frenchman had signed a two-year contract extension.
The decision has divided the supporters, with many fans protesting against him throughout the course of the campaign.
Wenger has put pen to paper on a new deal just days after winning the FA Cup courtesy of a 2-1 win over Chelsea at Wembley.
And Henry, who won six trophies under Wenger's stewardship during his time in north London, reckons his former manager must win the Premier League title to justify the decision to keep him on.
Arsene Wenger's Arsenal wages through the years Wed, May 31, 2017
How much has Arsenal manager Arsene Wenger earned with each contract signed at the Emirates?
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1996 – First contract at Arsenal: Three year deal worth £500,000-a-year
Arsenal legend Thierry Henry has urged Arsene Wenger to win the Premier League title
I am happy Arsene Wenger is staying at Arsenal
Arsenal legend Thierry Henry
"I said two weeks ago he was going to stay and I wasn't wrong," Henry told Sky Sports News.
"People were talking to me about announcements today, but the announcement would have been if he was leaving.
"But he is not leaving, the board have assessed the situation to see if it was the best for the club. There is nothing new for me or at Arsenal. For 21 years – and now the 22nd and 23rd – he will be here.
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"As an Arsenal fan, and as a guy who had Arsene as a coach and have maximum respect for him, I'm happy to see him at the club. But time will tell (if the decision is correct).
"They finished the season strong, although they have done that before. Raising yourself for the FA Cup final, to beat one team on one day is one thing. To do it over 38 games is a different story.
Arsene Wenger last won the title back in 2004
"Everyone is waiting for the title; the club, the players, the fans and Arsene himself.
"That's what I want to see because raising your game for one day is one thing, but everybody is waiting for that to be done over 38 games."
Arsenal last won the league title back in 2004, when they finished the season unbeaten and 11 points clear of second-placed Chelsea.
But, in the 13 years since, Chelsea, Manchester United, Manchester City and Leicester have all won the prize.