David Beckham ended up staying on for AC Milan when he signed on loan from LA Galaxy in similar circumstances three years ago, and Wenger says that he cannot rule out Henry doing the same.
"Milan might have negotiated that in advance but we have not done that," Wenger said.
"We have promised that we send the player back so we have not spoken about that at all.
"Let's hope we have the problem. If we have a problem then it means he has done well so I hope we will have the problem. But at the moment I can just say no, it is not envisaged at all."
Henry became Arsenal's all-time leading goalscorer during his last stint with the club.