The Gunners lost their first three consecutive Premier League games of the season under Arteta, but they have since rebounded.
They took 10 points in their last four league games, a streak that included a win over Tottenham in the North London derby.
But, speaking at the Prime Video Presents Sport 2021 showcase event, Henry said, “I don’t know if things are going in the right direction. I watched the Brighton game. Did you watch it?
“I’ve seen us beat Norwich, win at Burnley, beat Tottenham at home – because we still beat Tottenham at home.
“I was more than happy when we beat Tottenham as we were on a good run but I was waiting to see a performance, away, against a team passing the ball.
“And, instead, we suffered.
“I was waiting to see the Brighton game, to see if we could have the ball and keep the ball away from home, retaining possession, against a dangerous side from Brighton.
“When we lost, even after I left the squad, it was always said that Arsenal didn’t have a plan B and that they were spending too much for the sake of passing.
“But I didn’t see that from Arsenal in the Brighton game. I saw Brighton do that.