It had been a good day for Wenger. He was offered a contract extension until 2008, as Arsenal chairman Peter Hill-Wood said: "Arsene can stay here for as long as he wants."
And then he watched his side go ten points clear of Chelsea at the top of the Premiership with five games to play, as four-goal Henry destroyed Leeds.
Wenger said: "The players have shown how strong they are mentally. That strength is something you either have or don't have. They trust each other and support each other. There's a bonding in the team."
Henry said: "The boys played some great balls for me. It's a pleasure to play alongside such quality. There's so much commitment and desire here."
He added: "The scoreline was a bit harsh on Leeds. They played well for 20 minutes early on and caused us some problems."
Arsenal's victory means they are unbeaten in 33 Premiership games this season. They are within five matches of becoming the first team to complete a Premiership campaign unbeaten.
Leeds' defeat leaves them rooted in the bottom three, two points behind Portsmouth, Blackburn and Manchester City.
Portsmouth have two games in hand on Leeds, and one each on Blackburn and City.
Leeds striker Mark Viduka said: "We're in a desperate situation, as we were this time last year."
Viduka starred then as Leeds saved themselves with a 3-2 win at Highbury which ended the Gunners' championship hopes. That was The Whites second consecutive win at Arsenal.
There was no chance of a repeat, once Robert Pires had blasted Arsenal into a sixth-minute lead. Dennis Bergkamp led a quick counter-attack, splitting the Leeds defence with a delicate throughball. Pires ran on to smash a 25-yard shot past keeper Paul Robinson.
Wenger said: "When we lost to Leeds at the end of last season, we'd virtually conceded that the championship was gone. Now it was there to be won."
Leeds dominated most of the next 20 minutes without seriously testing Jens Lehmann. Arsenal made them pay in the 27th minute. Henry spun off Michael Duberry to beat the offside trap and collect Gilberto's pass. That left him one on one with Robinson. Henry slotted home left-footed.
Henry added the Gunners' third, six minutes later. The hapless Duberry handled as Bergkamp burst into the box and Henry chipped a cheeky penalty past the Leeds keeper.
Henry completed the fifth treble of his Arsenal career five minutes after the interval. Gilberto split the static Leeds back line again and the Gunners' top scorer finished with a right-foot curler beyond Robinson.
Henry added his fourth in the 67th minute. Pires supplied a deft flick, Henry left three defenders in his wake and guided a low shot past Robinson as he fell. It was his 150th goal for Arsenal and he became the first Gunner to net four goals in a Premiership match.
In the closing stages Sylvain Wiltord shot wide in a one on one with Robinson and the Leeds keeper then plucked Bergkamp's cross off Wiltord's right foot.
Henry curled a free-kick wide and was then inches off target from Jose Antonio Reyes' pass before Robinson's dive denied the Spaniard.
Arsenal finished rampant while Leeds remain in the bottom three with four games to go to save their season.