The Gunners remain unbeaten at Emirates Stadium but have struggled to score at times and have had to come from behind to earn draws.
In his programme notes for Arsenal's UEFA Champions League clash against Hamburg, Arsene Wenger urged fans not to put too much pressure on Henry.
The Frenchman, meanwhile, has revealed that he does not feel entirely comfortable in his new surroundings.
Henry also explained that he enjoyed turning on the flair at Highbury but was not quite ready to play in the same way at Arsenal's new ground.
"I think I've got five goals at this stadium now in eight starts but I still don't feel fully at home here," he said.
"Perhaps I tried stuff at Highbury that I'm not trying here, but that's natural because I knew my way around Highbury so well."