The North London outfit were rumoured to have parted with around £60m to sign Borussia Dortmund forward Pierre-Emerick Aubameyang in January, but they failed to address their defensive issues.
Henry has speculated that Wenger is happy to flash the cash when it comes to attacking players, but has a different approach to signing defenders.
"It seems like people always say that he does not want to spend big," the Frenchman said on Sky Sports' Monday Night Football. "He will always think that some of the players are not worth the price that you put on a table.
"But it is a new era, you have to put at least, if you want someone good, £60m, £70m, whatever the position is. I think he finds that really difficult.
"He does it easy for a striker, or a creative player, but for defenders, he probably thinks 'that might be a lot'. We are obviously speculating, but it is a weird one that is difficult to pinpoint, because in some games they can show us that they can do it."
Arsenal are currently fifth in the Premier League table, eight points adrift of the top four.