"But England... I watch every game that I see on TV. I was watching Stoke City versus Crystal Palace. I will always miss it.
"There has been since I arrived here a lot of speculation from day one but, hey, go back where? There's only one team for me in my heart. It took me a while to understand what that club, Arsenal, meant."
Henry insisted he is not remorseful over any of the decisions he has made.
He said: "I don't regret stuff in my life. Stuff happens for a reason. You don't regret stuff that you thought about. I don't regret it."
Although Arsenal manager Arsene Wenger said he would be delighted to have Henry back at the Emirates, he did not expect his compatriot to return in the near future.
"You can never say never, he still loves Arsenal," said the Frenchman.
"It will be the club of his heart for the rest of his life, but when will he wear a red shirt again as a football player? I don't know."
Watch the full interview on Football Focus, Saturday 26 April, BBC One, 1210 BST (UK only)
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