Henry, a Gunners icon, mentioned Manchester United legend Scholes when commenting on the imminent departure of Liverpool great Gerrard from the Premier League.
Gerrard, who boasts over 700 outings for the Reds, will play his final game at Anfield against Crystal Palace on Saturday, with the former England captain set to join LA Galaxy at the end of the season.
"To see him leave the League is going to be a sad day," Henry told Sky Sports. "I'm not a Liverpool fan but I'm a football fan; to see him not wearing that red shirt and stepping out of the tunnel at Anfield is going to be weird.
"I played so many times against so many good players, especially in the Premier League. Frank Lampard was and still is special, Paul Scholes was, every time, the guy we feared at Arsenal when we were playing Manchester United, but for me, Stevie G is up there.
"For me, he's the player where you say: 'OK, he didn't win the League, but he gives you so much pleasure and you respect them so much’. The amount of pleasure - and trouble when I was playing him! - that he gave us, I respect him a lot. He's one of the best players that ever played in this League."
The 34-year-old Gerrard netted his 185th Liverpool goal at Chelsea last weekend, having been with the club since childhood.
Henry continued: "Him playing for just one club in this country is special. I know he didn't win the league - I know he would have wanted to win it, especially with Liverpool - but for me it doesn't really matter.
"I have maximum respect for him staying at one club but also the way he behaved on and off the field; his goals, the way he drove his team and made everyone believe they could win even if they were losing.
"There were many special moments that he gave Liverpool fans and it's been a privilege to play against him.
"Yes, he didn't win the league but sometimes a player has won the league and not given as much as he did."