The Gunners legend said the opportunity to play for his former club is one he would find impossible to turn down were he in Vardy's shoes.
Despite Arsenal triggering a release clause reported to be worth £20m, Vardy is yet to make up his mind on whether or not he will leave Premier League champions Leicester this summer, and the North Londoners are prepared to wait until after Euro 2016.
Yet for Henry, the decision should be obvious.
"All I can say is if I was playing for Leicester and I had Arsenal coming, and I'm 29, I would have gone," said the Frenchman on BBC Radio.
"But I'm not Jamie Vardy. Either he has another proposition on the table, or Arsenal doesn't seem attractive to him anymore."
Henry went on to express doubts over Vardy's suitability to Arsenal's style of play.
The speedy striker, who netted 24 goals this season, thrived off Leicester's counter-attacking style which allowed him to run off opposition defences into space.
Arsenal, however, often find themselves camped deep into their opponent's half with less room to work with.
"He had an amazing season, don't get me wrong, it will go down in history," said Henry.
"But I have my question marks about if he can play in the last third when teams are waiting for you. He's been brilliant, but I'm just asking some questions along the way."