Henry spent eight years in north London and formed a close relationship with the club's fans, eventually taking the captain's armband from Patrick Vieira.
The 32-year-old says he will be a professional and put in his best, but admits it will be weird to go up against Arsenal.
"Whenever there is a draw for the Champions League I'm in pain," he told Sky Sports. "I'm not saying I won't try to fight or whatever because that's the way the game is. But I don't want to play against Arsenal.
"It will be weird for me to step on the pitch, even if it's at the Emirates and not Highbury, with another shirt on."
When asked if he would celebrate a goal, he added: "Forget about it. No. I do not want to play against Arsenal, simple as that.
"The bond that I have with the Arsenal fans I will never get anywhere else. Because I don't think I will ever play for another team for that long.
"Eight years - I don't think I will be with another team for eight years, I am getting old now."
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