Wenger has never recorded a league victory over the current Manchester United and former Chelsea manager in 11 previous matches.
Both sides face each other at Old Trafford on Saturday, as the Premier League returns after the international break.
“Can Arsene Wenger win a game against Jose Mourinho in the league? That’s what everyone wants to see,” Henry told Sky Sports.
“Obviously Mourinho does something tactically that stops Wenger from winning. But Arsene has had a lot of opportunities to win a game against a side Mourinho was coaching – I am talking about the league – so when is it going to happen?”
Henry also made it clear that the match is a “must-win” for Mourinho, who has endured a tough start to life as United manager.
“It’s ‘must-win’ for United if they want to stay close to the top,” Henry said.
“It’s going to be a tough game for both teams. What Manchester United are we going to get, what Arsenal are we going to get?
“United have had some difficult games before the Swansea game while people were questioning Arsenal about how well they can do against a big team. But they answered that against Chelsea at home, who are admittedly a lot different now in the way they play. It’s interesting to see how they’re going to behave and play against United, especially with what happened [a defeat at Old Trafford] last season.
“It’s difficult to call these games after international duties. Who is going to come back fit? Who is actually going to come back? Maybe it wasn’t ideal for United to have the break after a victory [against Swansea] as they had to go away and then come back.”