Arsenal slipped to a 3-1 defeat away to Chelsea on Saturday.
Arsene Wenger came under fire from the fans, while the likes of Alexis Sanchez and Mesut Ozil had subdued games.
But Henry thinks the Gunners’ shortcomings is a mental thing as opposed to a tactical weakness.
“The work he has to do at the moment is difficult, because it is mental work,” Henry told French broadcaster RMC.
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Does he have to change his tactics or his way of doing things? I do not know if he's willing to do that
Thierry Henry
"What I saw against Chelsea is a mental problem. I don't want to go into details but that is why Arsene's job is very complicated because it is a mental problem. And it's not easy to manage.
"Every time Arsenal can put pressure on the leaders or put the pressure on others by being first, usually in that match, they lose and then you lose confidence and bad results follow. The problem is more mental than quality."
Despite Arsenal’s disappointing campaign so far, Henry has stuck up for Wenger, claiming he doesn’t think he should leave at the end of the season.
He added: “Personally, I do not think Arsene (Wenger) has to go.
“Does he have to change his tactics or his way of doing things? I do not know if he's willing to do that.”