Men's Singles Final - Thierry Henry watches Switzerland's Roger Federer play against Serbia's Novak Djokovic
Arsenal made their move for the Leicester City star last week, activating a £20million release clause in hi contract. It had been anticipated that a move would be completed by the end of the weekend, but that did not happen.
Instead, reports emerged this week that Vardy has delayed a decision until after Euro 2016, where he will feature for England, as he is mulling over the offer.
Henry cannot understand that decision though, saying that if he were in the striker’s position he would have gone already.
"He's 29, right? You have Arsenal coming for you, and you're telling them you're going to think about it?" he told Radio 5 Live.
"Listen. All I can say is if I was playing for Leicester and I had Arsenal coming, I would have gone."
It will now be interesting to see what decision that Vardy will make at the end of this summer.
A switch to Arsenal must be tempting for him, with a move to one of the so-called big clubs unlikely to be offered again given his age.
At the same time, he will surely be attracted to the idea of continuing his journey with Leicester City as they head into the Champions League next season.
Jamie Vardy celebrates scoring the first goal for Leicester City to equal the record for scoring in consecutive Premier League games