Henry was dismissed after just 20 games in charge of the Ligue 1 side, with predecessor Leonardo Jardim returning to the club in January and quickly guiding them out of the relegation zone.
Wenger had offered support to Henry during his brief reign in charge and reached out to him when he was sacked, though the former striker was not ready to see his old boss.
‘I called Thierry when it was bad, I encouraged him not to let go,’ Wenger revealed at a night in his honour at the Olympia Hall in Paris on Monday night, according to L’Equipe.
‘When he was removed from his duties I tried to call but, hey… he experienced a form of mourning. I suggested to his agent to organise a meal with him.
‘For now he is still in a painful period, but he promised me that, when he is ready, we would do it.’
Wenger spent 22 years in charge of Arsenal and has yet to find a new challenge since leaving the Emirates, though he says he is still considering a return to management.
He continued: ‘I have a form of sadness. I miss the competition because I have only done that in my life. I enjoy having free time – walking around Paris, going to Corsica, taking time for myself – but I miss the adrenaline.’
Wenger also distanced himself from a role at PSG and hinted at taking charge of a national team: ‘Maybe, but if it is to happen, it will have to be before the World Cup.’ (Metro)