The Premiership top scorer's hat-trick sank Wigan's brave resistance and propelled Arsenal to a guaranteed Champions League place - ahead of bitter rivals Tottenham on the last day of the season.
Tottenham, hit by food poisoning in their squad, lost 2-1 at West Ham, so they finished two points behind the Gunners after holding fourth place since December.
There was going to be a party anyway, after the last-ever game at Highbury. But the Arsenal fans might have written the script - a Henry master-class followed by Spurs' demise - just one more memory for the famous stadium.
The game turned on a second-half back-pass. Henry pounced on David Thompson's misplaced effort and shot Arsenal in front. Their confidence flowed at last while Wigan were deflated.
As striker Jason Roberts acknowledged beforehand, this was Arsenal's day. But his side did not come to lay down. They deserved better than to finish with ten men after substitute Andreas Johansson was sent off for a deliberate handball.
Cesc Fabregas, Jose Antonio Reyes and Robert Pires, match-winning subs at Manchester City on Thursday, all started for the Gunners. Sol Campbell and Ashley Cole played again in defence but Cole looked by far the sharper.
Wigan almost shattered the party atmosphere in the third minute. Henri Camara was fouled 20 yards out and Thompson whipped the free-kick inches too high.
Reyes, breaking down the left, created Arsenal's first chance but Matt Jackson blocked Henry's shot.
Pires struck first after eight minutes. Campbell flicked on Fabregas' cross and Pires knocked in the rebound after Mike Pollitt had saved his first stab. The news of a West Ham goal heightened the Gunners' celebrations.
They were still in party mood a minute later, when Paul Scharner nipped in front of the home cover to poke another Thompson free-kick past Jens Lehmann.
The Gunners began to probe on the left via the old triangle of Henry, Pires and Cole but Campbell was fortunate when he felled Roberts in a counter-attack and referee Rennie waved away Wigan's penalty appeals.
Reyes played in Pires, whose shot hit the side-netting before Henry made a chance for Gilberto Silva who fired too high.
After 33 minutes, Thompson threatened to spoil the party, curling a wicked free-kick past the amazed Lehmann at the near post when the keeper expected a centre.
Wigan could not hold the lead either. Less than two minutes later, Pires threaded a pass between the centre-backs and Henry squeezed his shot beyond Pollitt. At virtually the same time, Spurs equalised.
Emmanuel Eboue, bursting onto Fabregas' pass, forced a desperate clearance from Thompson while Pires wasted a chance to free Henry again.
Lee McCulloch flashed a shot over as Wigan opened the second half with confidence and Camara, on the turn, shot too high from a tight angle.
Then a horrendous mistake gifted Henry his 26th Premiership goal of the season. Thompson's back-pass let in the Footballer of the Year, who coolly slipped Pollitt to score. Suddenly, Teddy Sheringham's penalty miss at Upton Park hardly seemed to matter.
Arsenal were rampant. Wigan scrambled clear after Pollitt saved with his feet from Fabregas' header and Pascal Chimbonda hacked the ball off the line from Henry.
In the 75th minute Freddie Ljungberg, who had just come on, was hauled back by Johansson. Referee Rennie then dismissed Johansson for preventing a scoring opportunity. He had not even touched the ball. Henry tucked away the penalty and killed Wigan's brave challenge.
Dennis Bergkamp came on for his Highbury farewell cameo - at the same time as West Ham scored their second.
The crowd erupted as Rennie blew the final whistle. The final score came through from West Ham - and the party started in earnest. Ten days later, in his home city, Paris, perhaps Henry will produce an encore in the European Cup final, the first in Arsenal's history.