Henry felt that Arsenal lacked cutting edge in their second leg against Bayern Munich, which they lost 1-0 to go out 3-2 on aggregate.
He CBS Sports: "Putting the ball in the back of the net but today, there wasn't even a lot of chances to do that. I think the two goals (in the first leg) at home were soft. We all know if you make those mistakes in the Champions League you're going to pay the price.
"Today wasn't good enough I would say but there wasn't much in the game. Both teams didn't want to lose so they didn't really go for it.
There was a moment of bad decision, not only from Martinelli but (Takehiro) Tomiyasu also, because he did not cover his center-back for the cross or close that line."
But you've asked me so many times, do I think Arsenal can win the Champions League? I say yes because I'm hoping and wishing," Henry added.
"But if I take my Arsenal hat off, when we play three games a week, we struggle.
"I don't think we're equipped to play three games a week so maybe it can be a good thing for the Premier League."