The London side, who host Spain's Villarreal in the Champions League semi-final first leg on Wednesday, vacate their home since 1913 to move to the new 60,000 seater Emirates Stadium next season.
"There are so many memories there (Highbury)," Henry told reporters on Tuesday. It is difficult to talk about it.
"I know they are going to go on and do some flats and stuff. It would have been great if you could back there so you could sit here and remember some stuff.
"Obviously the last game in Europe at Highbury is going to be amazing. I think the game against Juventus and the game against Real Madrid were really great atmosphere.
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The France striker, who has said he will decide his future with the club before the start of the World Cup, goes into tomorrow's game searching for the one trophy that has eluded him in his career.
Henry has won the domestic title and Cup honours with Arsenal, alongside the World Cup and European championship with France, and is desperate to add the Champions League to his achievements.
"Since the beginning I wanted to win the competition and obviously it's a fact that's the big thing missing on my CV and obviously on Arsenal's CV," Henry said.
"I don't know, when we have thought it would be our year and maybe this year when we are in it game by game and not having a good run in the league and we find ourselves in the semi-final.
"So it's really weird and it has been missing for me and for the club."