The French striker, who plays for the New York Red Bulls, is currently training with the Gunners during the MLS off-season
"When I see him training, I am teasing him, 'You could still play with us, you know?' But he has never replied and just smiled," Song told L'Equipe. "What he achieved during his career is just amazing. He has nothing more to prove in football.
"Today he has the opportunity to give us a help.
"A player with such stature, such potential. He would bring us a lot."
Henry, 34, left Arsenal in 2007 following an eight-year stint at the Emirates Stadium.