“First of all, I would have loved to play with Steven Gerrard and second I like the club and their fans. There’s something about Anfield that you can’t explain.

“I love it when you step out of the dressing-room and you see the Kop, the scarves, and [hear people] singing You’ll Never Walk Alone. Just that, that would do it for me.

“Obviously it can never happen because I love Arsenal too much. There can never be a possibility of playing anywhere else in England.”

Much of the reasoning for that could be down to the guidance of Henry’s compatriot, Arsène Wenger, the Arsenal manager who celebrates ten years in charge on September 30. Henry cannot envisage the 56-year-old wanting to call it a day, saying: “I don’t know if he can live without football. Thankfully for us, that’s just him. This is his life.”

Calling Wenger the most influential manager in England over the past decade, Henry said: “It’s like when you see Ajax playing — the tradition of passing the ball, and that’s what Arsène has brought here.

“We did win some ugly games, like the [2005] FA Cup Final against Manchester United, but now we have an identity and people now recognise Arsenal by the way we play. Sometimes that’s not enough for everybody and also for us because it doesn’t always bring you silverware. But that’s the way it is.

“Arsène said we were going to go a season unbeaten and he said it a year too soon. Everybody laughed. I remember that so well. When we lost that first game everyone said ‘oh yeah?’, but the year after [2003-04] we did it. He always says this kind of stuff and sometimes he’s the only one who thinks like that.”

Wenger has won seven trophies in North London, including three league titles and two Doubles. He engineered the transition from drinking culture to thinking culture; “boring” football to beautiful. He put a 17-year-old Henry into the AS Monaco first team and took him to Highbury in 1999, reinventing him as a striker and restoring his confidence after an unhappy spell with Juventus.

Would Henry consider following his mentor into management? He shares some of Wenger’s traits. “I am passionate. I love the game,” Henry said. “I watch a lot of games on TV. I do love to speak to Arsène about games involving other teams or us. We talk about how people are playing.

“You have to know what to do on the training pitch, obviously, but managing the players is the most difficult thing, from what I’ve seen. To deal with me must be a pain! You also have to know when to stay calm. That is the thing I admire about him.”

How to mark Wenger’s anniversary next week? “We need to do something special for him, like throw him under the shower,” Henry said. “Knowing Arsène, he’ll just say if we can win it’ll make him happy.”

Scoring from two yards is not exactly typical for Henry but yesterday at the Emirates Stadium he kicked a ball to propel paint on to a canvas inside a goal as part of the Impact Art initiative for the Willow Foundation, the charity set up by Bob Wilson, the former Arsenal goalkeeper, that arranges special activities for seriously ill young adults.

Henry has donated the £27,000 prize for winning last season’s Golden Boot to the foundation and his artwork will be auctioned.

STILL LEARNING

Even though he is one of the world’s great strikers, Thierry Henry feels he can learn from the lower leagues and other players. “I’m not afraid to say that I look at other players. For example, Paul Dickov and the way he moves, because he’s always moving everywhere. For another type of game, [Kevin] Davies, to see what he does, you know to annoy [opponents], not in a bad way but just looking to see him in a situation.”