Suarez reportedly has a clause in his contract that meant the Reds had to inform him of any offer that came in over the £40m mark.
The Gunners then bid £40m and £1 in an attempt to prise the Uruguayan striker away from Anfield and Henry admitted that he was disturbed by Arsenal's knowledge of information that should have remained private.
"[Those details] should have been confidential, so absolutely it concerns me [that Arsenal knew about them]," Henry told Norweigan newspaper Dagbladet.
"They don't have permission to do all this, so the answer would be yes [I am concerned]. How does a club that doesn't have permission to speak with your player see his contract?
"Unfortunately, it's the way it works in football. People don't speak about it publicly but that's the way it's run. It's how things are done. I don't think there's a point reporting Arsenal because it just seems to happen everywhere, throughout football."
Suarez has been a target for Arsenal all summer, with the Reds having already rejected two bids from the Gunners for their 30-goal talisman.
A recent report claimed that Suarez could become Arsenal's all-time highest earner, should he move to The Emirates.