The Frenchman, who was a part of Arsene Wenger's Invincibles side, scored 174 goals in 254 appearances for Arsenal between 1999 and 2007. He also scored 11 goals in 11 games against the Elland Road outfit, and is expected to start against them in the FA Cup this week.
"He has to be in the top five players to have played in the Premiership," said Grayson.
"The Arsenal Invincibles were very solid and hard to play against but he could make something happen out of nothing – such a rare commodity to have – and can still do that today, I am sure.
"He is still quick, still sharp, probably not as lightning-quick as he once was but his all-round awareness of the game and the experience he will bring to the Arsenal dressing room in this short period of time will be second to none."
Henry officially sealed his return to the Emirates Stadium on a two-month loan on Friday.