ESPN Extra Time
Henry, the Gunners' record goalscorer, 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 return when he came off the bench to slot home the winner on 78 minutes.
The 34-year-old 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.
"It was a little bit of a dream, because it was a story about football you would tell some young children," Wenger said. "Unfortunately it is not often like that in our game, but sometimes it happens.
"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. That was the Thierry Henry finishing."
Wenger rested captain Robin van Persie for the FA Cup tie, allowing the Dutchman some time away on a family break to Dubai. The Gunners boss, though, suggested he may throw both Henry and van Persie together when their 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 when Francis Coquelin limped off with a hamstring problem. Wenger confirmed after the Leeds match that he is looking to bring in some cover at the back.
"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]."