Wenger will reach four figures when Arsenal travel to Chelsea, and Henry, who scored 228 goals in 377 appearances during his time in North London, believes that the Frenchman is one of the "best managers in the modern game".
The 36-year-old told Sky Sports News: "To reach 1,000 games for one club is a historic achievement, but not a surprising one. He is one of the very best managers in the modern game.
"I have been fortunate to play for some extremely gifted coaches. I had Pep (Guardiola) at Barcelona and he has proved that he is the best at the moment but Arsene is more than just a great manager to me because he was a father figure and a mentor.
"I will never forget his advice and guidance over the years and without him, I wouldn't have achieved half the milestones in my career."
Wenger has won 572 of his 999 matches in charge of Arsenal.