Sanchez made his return from a muscular problem in Sunday's Premier League clash with Liverpool, but the Chilean could not prevent his team from suffering a 4-0 defeat on Merseyside.
The 29-year-old is still refusing to sign a new contract as he looks to engineer a move away from Arsenal, and Henry has claimed that occasions such as the Liverpool game are why the attacker wants to leave.
"Why would he stay after watching this? After this type of performance? That is why they [Sanchez and Alex Oxlade-Chamberlain] are not renewing their contracts. There is something wrong with Arsenal at the minute," Henry told Sky Sports News.
"It was unwatchable, at one point I wanted to leave. I don't relate to the team and I don't think a lot of the fans do. That is a problem. The word I have used for a long time is comfort. Everything is comfortable at Arsenal.
"Everyone can stay, you don't try to find out the player you can be, it's ok to play well, and if you're not playing well there's not the pressure you should have at a big club. You are not even competing. It's on them to change it, but everything is nice and it cannot be like that."