Henry has scored three times in six substitute appearances since joining on a short-term loan from New York Red Bulls at the start of January, including crucial winning goals against Leeds United in the FA Cup and at Sunderland in the Premier League.
Arsenal's all-time record goalscorer will say his latest farewell to the club after Wednesday night's Champions League game at AC Milan, which is likely to mark his first appearance in the competition since he came on as a sub for Barcelona at Arsenal in March 2010.
Wenger said: "Thierry has produced a lot of special moments for us. He is such a special player and has showed that with the goals he has scored. When he came on at Sunderland, there was suddenly a focus to do it - an 'okay, let's deliver'.
"He has a special strength that is based on desire and belief. I am very sad to see him going back to New York because I didn't expect him to be so important for us when he returned on loan at the start of the year.
"But he grew into the team very quickly and his talent is much sharper than I thought it would be after having been out in the States. He left top-level European football because he was concerned about knee tendon problems but he is in very good shape.
"Yes it was a dilemma including him in my Champions League squad for just one match as I had to leave someone else out. But I thought it was worth it - and he can prove me right now.
"The 5-1 win in the San Siro was one of Thierry's best displays for Arsenal, although the best goal he scored was when we won away to Real Madrid. To resist the defenders and finish the way he did, you need everything - calmness, strength, power and technique.
"He combined it all in that goal and he can still deliver that.
"From now on the Champions League becomes more stimulating and stressful because it is a cup competition and every goal becomes important. This is where experience is vital. Like us, Milan have a lot of Champions League experience and it is a real 50-50 tie, so it is very important to have the right attitude in the away leg.
"Milan will start strong and it will be crucial not to let them get on top of us. We must win our fights in every area of the pitch."