Henry said that at the start of his Arsenal career "I felt I was more likely to break the Clock in the Clock End at Highbury than break Ian Wright's record. That was my aim. I remember coming here and I wasn't hitting the target".
That record - 185 goals for the club - was surpassed on Tuesday as Henry made a dramatic return from injury to score the two goals that defeated Sparta Prague in the Champions' League. Before the Premiership game against Manchester City today Henry will be presented with a silver cannon by Wright to mark his achievement. It is a moment that means much to both men with Henry saying the most "special" call of congratulation he had received was from the man whose record he took.
Henry also told a story of when he was signed from Juventus, for £10.5m. After agreeing the move he was handed a videotape by Arsenal's vice-chairman, David Dein. "He said, 'That's what you have to do'. He gave me the tape the wrong way up, so when I turned it over I thought, 'Only that many [goals]'."
He watched the tape that night "and for a couple more nights" and "never thought when I was watching it that I could break it". He was unsure he could make the conversion back to the position Wenger believed was his.
"I had just won the World Cup. I had been playing as a winger at a high level and I was well known for playing in that position," Henry said. "It was six months before Euro 2000 and it was big gamble, but I like challenges."
Playing on the wing, he believes, made him a better player. It probably also helps to explain why no other player has registered more assists during his six years in the Premiership. "Sometimes I have more pleasure in giving a goal than to score myself. Maybe playing on the wing made me realise it's a team game. Strikers are sometimes a bit special, they have that selfishness that maybe I don't have."
In fact, he said, he sometimes gets so upset when he watches games and sees someone being "greedy" that it spoils it for him. "I feel it killed the game in general. To play good football is fragile. When you don't have one guy in the rhythm, the team can't exist."
Arsenal have struggled to find their rhythm this season and his return has been hailed as that of a one-man salvage operation. Henry is having none of that. "I have never seen anyone win anything on his own apart from Maradona. Without my team, I'm no one. Great players usually play in great teams. Even when they leave the team still wins."
His own future - with contract talks delayed until the end of the season - is under fierce scrutiny. Wenger said that questions should be directed to Henry. Henry, 27, replied: "My answer is that you should ask Arsène."
But he is full of praise for his mentor. "Arsène started my career and he restarted it," he said, referring to his start at Monaco, as a 17-year-old, followed by his unhappy spell in Italy before moving to Arsenal. "He took a lot of players who people had never even heard of and they turned out to be good players. He has been tremendous for me."
It is often declared that he is incapable of scoring anything but beautiful goals, but Henry said: "If I can score 100 goals with my nose I will do it... The main thing is to be efficient."
It is a theme he explores, interestingly singling out Didier Drogba and Emile Heskey for praise. "Drogba sometimes gets stick for his first touch but you have to respect him, he runs everywhere," Henry said. He also admires Paul Scholes. "When he's on the ball... he plays the game I like to see - one touch, two touches and he moves."
It is something Henry does, too, of course - but how would he like to be remembered as a player? "When I started, people asked what I'd like others to say about me when I'd stopped playing. I said my wish was for them to say I was a good player."
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