Henry was reacting to their Champions League win at PSV Eindhoven. The Gunners won the first-leg of their round 16 encounter 7-1 on Tuesday night
"Yes, they can. I do believe that, this is why I called it. I'm just saying now, show us that you can do that against a good team, with people that are coming back," he said on CBS Sports Golazo
"No disrespect to Eindhoven, I really thought it was going to be difficult, especially away from home but they made it look easy. I think they had an outstanding game as you can see with the result.
"But, we all know that the (Premier) League is over. Apart if something crazy happens but what I'm trying to say is that this game can help maybe to be confident in this competition but v the game that you have after, Real Madrid or Atletico.
"Sometimes I think the path to the final can at times help or not, but if you want to win the competition you have to go through these teams."