The Gunners beat their bitter north London rivals 2-1 last night to advance to the fourth round of the Capital One Cup.
Wenger's men were desperate for a response after their 2-0 defeat to Chelsea last weekend.
And Henry thinks this will be the perfect pick me up for his old club ahead of their match against Leicester this weekend.
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Mathieu Flamini celebrates scoring against Tottenham
"It is massive, it's huge. Let's fast forward a bit," Henry told Sky Sports.
"You don't want to go to Leicester having lost that game.
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Thierry Henry thinks Arsenal's win is the perfect confidence booster
"They won the derby, and you saw how they played.
"They fought well, they had character, it maybe wasn't flamboyant Arsenal, but they just won at the Lane.
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Arsene Wenger manager profile
"They're going to be buzzing, there will be happiness around the dressing room and the training ground, and that's always better for them to prepare for the next game."