The 36-year-old French striker has been using Arsenal's training ground in the past week.
Former Arsenal midfielder Robert Pires has also been using the facilities at Arsenal's London Colney training ground.
Wenger told the Arsenal website: "They like to come back to Arsenal, to practise.
"When they can join in, they do. They integrate well with the spirit of the team, nothing more than that.
"They have no real target to bring something, they just want to enjoy themselves and keep their fitness. Usually they don't practise with the first team, because they come in and work on fitness.
"When we have some room we invite them to play with us but usually they train separately to us."
Reports have suggested that Wenger could decide to hand Henry a coaching post at Arsenal at some point.
"No, at the moment he is invited just to practise when he wants," said the manager.
"We have a big staff, a very competent one, and we have the right number to support the team to achieve their targets.
"Thierry is a player. One day, certainly, it will be different but, at the moment, no."