The Gunners have lodged a bid of £40million plus £1 for the striker, an amount that the Uruguayan believed would trigger a buy-out clause if it came from a club in the Champions League.
But Liverpool have refuted that claim, with Henry saying he has told Arsenal chief executive Ivan Gazidis that he will not allow Suarez to go to the Emirates for any price.
And Wenger, speaking at a press conference in Helsinki, is adamant there will be no underhand tactics in trying to acquire his main summer target.
"There is nothing to add to what I said already about the transfer of Suarez," he said. "If it will be done, it will be done in a respectful and amicable way with Liverpool.
"I didn't read (Henry's) statements but we'll be faithful to the way we want to behave.
"To make a transfer happen, you need the agreement of three parties - the buyer, the seller and the player.
"We know what we want to do. The player, if I look at the statements (does) as well. Liverpool at the moment do not agree. If they change their minds or not, I don't know. We'll respect that.
"We are looking at possibilities to strengthen our squad. Suarez is one of the targets. If he's not for sale, he's not for sale. We have to accept that.
"Every club has its own way of dealing with things, we have our way and we respect all the other clubs."
Henry's assertion that Suarez is not for sale came after the striker claimed he would put in a transfer request if he was not allowed to leave Anfield and even possibly take the club to a Premier League tribunal.
"We are not going to sell Luis," said Henry. "It's a football reason. It's not finances. At this point, so late in the window, with everyone who's already moved or isn't moving, we do not have time to replace him.
"So for football reasons we can't - and especially to Arsenal. We've made that clear. I have said to Ivan Gazidis in a personal conversation that we will not sell to Arsenal.
"It is unequivocal, but that doesn't seem to slow them down so I can't wait to see what the next bid is.
"We're not in Europe this year and have not been in the Champions League for a while. To sell to a rival for those Champions League positions, or one of them, would be ludicrous.
"Whatever the bid is, we won't sell him."