Arsenal are currently second in the table behind Chelsea.
The Gunners have enjoyed a strong first half to the campaign and currently sit second in the table.
They are unbeaten in the league since the opening day defeat to Liverpool and look like being serious contenders for the title this year.
There are still doubts over them, though, especially after the manner in which they fell away in the title race last season.
And Henry says the players themselves need to find the belief that they can go on to win this year.
"Arsenal need to have that belief that they can win the title," he told Sky Sports.
“They need to have that confidence that sometimes people mistake for arrogance. They need to arrive at a stadium knowing that they will win each game.”
The pressure is certainly on Arsenal to prove they are genuine contenders for the title this season.
They have done well to be where they are so far, especially given the competition at the top of the table this year.
However, their disappointing collapse in the second half of the campaign last year remains firm in the memory and it is up to Wenger’s side to banish that this time around.
A strong run over the busy December period would be a good start, starting with Everton this evening.