Thierry Henry will replace Patrick Vieira as Arsenal captain following his France team mate's transfer to Juventus.
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Midfielder Vieira left Highbury for Juventus for 20 million euros (14 million pounds) on Friday after nine years at the north London club.
Wenger was speaking after Arsenal beat fourth division Barnet 4-1 in a pre-season friendly with new signing Alexander Hleb of Belarus scoring on his debut.
Henry netted the second goal before Dennis Bergkamp and Justin Hoyte made the score 4-0. Dean Sinclair grabbed a late consolation for hosts Barnet.
The 27-year-old Henry, runner-up in the world and European Player of the Year awards, will start the new season four goals short of Ian Wright's club record of 185.
Henry joined Arsenal in 1999 for 10.5 million pounds after spells with Monaco and Juventus. The France striker, a 1998 World Cup and Euro 2000 winner, has scored 28 goals in 69 internationals for his country.
