Wenger, speaking with L’Equipe, revealed that his former captain declined an invitation to have dinner with him.
Henry was dismissed after just 20 games in charge of the Ligue 1 side, with predecessor Leonardo Jardim returning to the club in January.
Wenger offered support to Henry during his brief reign in charge and reached out to him when he was sacked, but 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.
“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 said