Henry enjoyed the best years of his illustrious career playing under Wenger at Arsenal, winning two Premier League titles and reaching a Champions League final.
Despite their success together, that didn't stop the former striker from occasionally showing his petulance.
Writing in his new autobiography, entitled "Mental: Bad Behaviour, Ugly Truths, and The Beautiful Game", Pennant recalls:
I remember once in training that Thierry Henry was playing in a small-sided game. It happens a lot when the ref or the coach calls it out. Someone keeps missing, someone has three touches in a two-touch game. With Thierry, he was having one of those days.
Someone had annoyed him, or the training kept breaking down. Thierry then got so annoyed that, when the ball came to him, he just booted it into another field. Thierry could sulk if things weren't going his way, but what could you say to him? After all, it's Thierry Henry.
I remember Arsène turning to him after he'd booted the ball into another field and shouting, "Thierry, stop being a baby!". Thierry just shouted straight back at him, "f*** off!". Then he just marched straight in.
I was thinking, "f***ing hell!", he's just told Arsène Wenger to f*** off - and then he walked in! I felt scared around Thierry sometimes. If you didn't give him the ball then he would moan at you, shout at you, and if you went long, he would go absolutely mental! He could sulk. My God, he could sulk!
Wenger didn't pull him up on it. He just got on with the job. No way did he do anything about being told to fuck off. Next day, training as usual.
Saturday, Thierry scored two goals.