Henry is back at Arsenal on a two-month loan and made an immediate impact as he scored the goal to dump Leeds out of the FA Cup on Monday night.
Koscielny admits that the squad have been buoyed by the 34-year-old's return and believes the veteran striker could be a shrewd piece of business for the North London side.
"He is leading by example, we saw it on Monday night," Koscielny told Arsenal's official website.
"It's thanks to players like him that we all improve. He is one of the greatest players to have played football and the squad needs to look up to him in the next two months to improve.
"Maybe he has missed the atmosphere here, at the club and the stadium. We can see at training that he plays like if he was 20 and as if he had just broken into the first team. He wants to score, to help the team and to improve."
Henry is expected to be in the squad for Arsenal's game against Swansea on Sunday.