Henry was dismissed after just 20 games in charge of Monaco, with predecessor Leonardo Jardim returning to the club in January.
Speaking in an interview with Canal Plus, Wenger discussed the managerial fortunes of his former captains Henry and Patrick Vieira (OGC Nice).
“They have seen different outcomes, but were also in different circumstances. For me, Thierry Henry was there (at Monaco) for too short a period of time to view it as a failure.
“He will bounce back elsewhere and make the road that Patrick did,” he said.
Vieira managed New York City for two years, before returning to Europe to manage the Ligue 1 side.