Henry showed his class with a composed 78th-minute strike and the Gunners manager said: "He was already a legend here but he added just a little bit more to the whole story with that goal.
"It was a little bit like a dream. It was a story you would tell young kids if you want to tell them a story about football.
"Unfortunately it doesn't often happen like that in our game, but it did tonight."
Henry, who scored his 227th goal for Arsenal, has signed for an initial six-and-a-half-week period which can be extended to eight weeks - but Wenger said no plans had yet been made to extend the stay.
Phil McNulty's verdict
“Here Henry was, 12 minutes from the end of a dour, attritional FA Cup third-round tie with Leeds, ruler of all he surveyed once more with a glorious reminder of what made him arguably the Premier League's finest player.”
"Thierry has seen it all and done it all," said Wenger. "You could see straight away when he came on he was a presence and that if we could find him he would be dangerous. He is sharp physically.
"In training I have seen that he was sharp and ready to play. With what he has done here, I wouldn't have put him on the pitch if was not ready.
"That would not have been fair but he is a special player and what is good for the club and the young players is that he is a guy who has done it all but still prepares 100%, is motivated and comes with an immense desire to do well.
"He still feels some pressure so he was so pleased to score. He is a proud guy - he doesn't want to disappoint people. It is a kind of a comeback and you want that to be a success when you are a player."
The veteran striker himself spoke of his delight at returning to the club he supports and scoring his side's decisive goal.
Thierry Henry at Arsenal
7 Aug 1999 v Leicester
7 Mar 2007 v PSV Eindhoven
9 Jan 2012 v Leeds United
* Correct at 10 Jan 2012
"I came back from holiday 15 days ago. I never thought I was going to play for Arsenal again or score a winner," Henry said.
"I don't know what to say. I love the club and I hope I can do more.
"I hope it won't be the last one. The feeling I had when I scored was amazing.
"I rejoined the club as a fan; [when I joined first time] I wasn't.
"With one opportunity, it's very important, you don't know if you'll have a second. You have to make sure you take it. I took it well."
Arsenal midfielder Aaron Ramsey told BBC Radio 5 Live: "It was a great evening. It was just made for him to come on and to score his trademark finish. The place just erupted when the ball went into the back of the net.
"He's got bags of experience. He's probably one of the best players to play in this league.
WRITTEN IN THE STARS
With 12 minutes remaining, Henry scores his 12th goal against Leeds in 12 appearances wearing the number 12 shirt in 2012
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