Frenchman Henry, 27, said: "People are telling me becoming a father will be the most amazing thing that will happen to me.
"I have to admit that throughout this season it has been on my mind all the time.
"But my brother has four kids and I was an uncle at 15 so at least I know how to hold a baby."
He added: "I hope my girl will grow up in England because I want to stay at Arsenal as long as they want me."