The Frenchman, who signed for the Gunners in a club-record deal from Lyon earlier in the summer, got off the mark on the opening day of the Premier League season.
The 26-year-old scored inside the first two minutes of a dramatic 4-3 victory over Leicester City at the Emirates on Friday evening.
Arsenal boss Arsene Wenger likes his teams to play attractive football, but Henry believes that they need to be more direct at times in order to score.
"Granit Xhaka has it in his locker to play that ball over the top," Henry told Sky Sports News. "He has an amazing left foot. If he has time on the ball he does not need to play through the middle sometimes.
"Why do you want to play what I call 'the Arsenal ball' to the winger who comes in the pocket? Why don't you play the other ball That's the best ball in the game because you go straight to goal. They don't like it.
"Does he lose the ball? No, he doesn't lose the ball. Does it look pretty? Yes, it looks pretty, but we want to go to goal. That's where we want to go. Can he play that pass? It is not difficult for Xhaka. They are going to have to learn with Lacazette."
Lacazette scored 28 Ligue 1 goals in 30 appearances for Lyon last season.