The Chile international looked to leave the Emirates during the summer.
But his dream move to Manchester City where he would reunite with former Barcelona boss Pep Guardiola was eventually blocked.
Arsenal stopped him leaving on deadline day for £60m after they failed to land a replacement.
Sanchez has since returned to action for the Gunners, playing against Bournemouth and Cologne over the past week.
However, some supporters have shown their discontent with the 28-year-old.
Despite Sanchez’s fractured relationship with Arsenal fans, Henry wants them to get fully behind him at Chelsea today (1.30pm).
“Key to their hopes on Sunday will be Alexis Sanchez,” Henry wrote in his column for The Sun.
“There will be plenty of eyes on the Chilean as he tries to fit back into the Arsenal team.
“Look, we all know he wanted to leave — but we have to forget all that now.
“It was unfortunate that he got booed against Bournemouth last weekend. It is time to move on.
“If he feels unwanted or unloved at the club it will be difficult for him to perform — he is a human being.
“Arsenal don’t have anyone like him. He is a special talent.
“It is best if everyone moves forward together. Be with him and hope he’ll be professional enough to give his all. And I believe that he will.”
Arsene Wenger could start Sanchez against London rivals Chelsea with Arsenal desperate for a strong performance.
Their star forward played from the beginning at home to Cologne as recently as Thursday.
And Sanchez once again showed his importance by scoring a sensational solo goal in the 3-1 win, highlighting to supporters he is ready to give his all.
