The 29-year-old was only one year into a new four-year contract with the Gunners, which he signed last summer, when he moved to the Nou Camp in a £16.1million deal on Monday.
Henry suffered an injury-plagued campaign at the Emirates Stadium last season - and had said previously one of his reasons for leaving the Gunners was because there was uncertainty over the future of Wenger, whose current deal expires at the end of next season.
However, the France striker said he expected Wenger to see out the remainder of his contract at Arsenal and added: "I will like him to stay there because it is important for the club.
"If he goes it will be very difficult - but I can't talk for someone else.
"The relationship I had with Arsene was out of this world - you can't imagine. I was talking to him about private stuff, about anything.
"That relationship goes beyond me going to Barcelona. We didn't have a fight (about him moving to the Nou Camp).
"We sat down and talked and we both respected each other and my relationship with him will always remain whatever happens."
It has been confirmed that the release clause in Henry's new contract with Barcelona is 125million euros - £84.2million.
And the Frenchman again reiterated his respect to Arsenal, revealing he would have left Emirates Stadium for no other club.
He said: "I have to show respect to Arsenal that's why before I left I went to talk to the website. I wanted to be genuine and speak the truth.
"Hopefully they will appreciate what I have done there and I have certainly enjoyed my time over there.
"I always said that if I ever left Arsenal it would have been to play for Barcelona. I am here right now, no disrespect to anybody but that was my choice.
"The way Barcelona play football, the fans, just being here and seeing what I'm noticing right now, it's outstanding. It was always in my mind if I was going to leave it would be for Barcelona Football Club."