The Frenchman was axed by the Ligue 1 side after just 20 games in charge with predecessor Leonardo Jardim returning to the club in January where he quickly guided the team out of relegation zone. Wenger tried to reach out to Henry, even asked for a dinner date but Herny turned former Arsenal manager's offer.
"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 organize 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 on return to management
"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."