The Frenchman enjoyed a successful two-month loan stint with the Gunners last year during the New York Red Bulls' MLS off-season, having initially left North London in 2007 after eight years with the club.
The 35-year-old was widely tipped to once again link up with Arsenal for a third spell at the Emirates Stadium, but Henry insists that he was lucky to rejoin the Londoners in 2012.
"It was never in the air [that I would return], despite the speculation," Henry told Al Jazeera. "I never spoke to the boss about it and he never mentioned it to me so it was not an issue.
"It was never meant to happen that I went back last year either.
"I was just training and then it happened and it was great to play with great players, work under the manager again."
Henry is Arsenal's record goalscorer, having netted 228 times during his Gunners career.