The Gunners have been circling around the Real Madrid hitman and it is thought the north London outfit could launch a club-record bid for his services.
But Wenger told Sky Sports: "I respect Thierry Henry a lot for his football knowledge but it is not as mathematical as that.
"We have to develop our collective game and depend less on one guy who comes in and scores all the goals."
Both players have been linked with the Gunners, although the latter was thought to be Juventus bound.
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Arsenal have been hot on the heels of Karim Benzema
And Italian paper Tuttosport claim Wenger thinks the aforementioned stars could make Arsenal genuine title contenders.
Arsenal have reportedly lost out in the race to sign Alessio Romagnoli.
Julian Draxler Player Profile
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