The Frenchman came on midway through the second half at the Emirates for his second Arsenal debut and proved to be the matchwinner with the only goal of the game.
"It's kind of weird," he told ESPN.
"I came back from holiday 15 days ago. I never thought I was going to play for Arsenal again or score a winner.
"I don't know what to say. I love the club and I hope I can do more.
"I hope it won't be the last one. The feeling I had when I scored was amazing.
"I rejoined the club as a fan; before I wasn't. Scoring a goal when you support the team, now I know how some of the guys who played for Liverpool or Man United or Chelsea felt when they scored a goal for the club they support.
"With one opportunity, it's very important, you don't know if you'll have a second. You have to make sure you take it. I took it well."
Henry may have been away from England since 2007 but he continued where he left off against Leeds, scoring his 12th goal in as many games against the Elland Road side.
"I didn't even think about that but I think I will always remember tonight," he said.
"When it comes to Arsenal something happens with me, sometimes in a bad way but most of the time in history in a good way."
On being named man of the match, he added: "I think it's a joke, but I'll take it."
Arsenal manager Arsene Wenger enjoyed watching the Henry of old. "You could see Thierry brought his class but also how much it means to him to come on and make the difference," Wenger told ESPN.
"It was something you couldn't even predict before the game.
"It's great that he's back here and got the goal that qualifies us.
"You see that when he gets in these kind of positions, we've seen it so many times, him finishing at the right moment. It looks easy but it's not."
Asked about the mood of the dressing room, Wenger added: "It's a little bit of euphoria because everyone's happy for Thierry."
Leeds manager Simon Grayson felt there was a touch of fate about Henry's goal.
He told ESPN: "[I'm] very proud of the players. We worked extremely hard, kept our shape, the organisation was good.
"We had a few opportunities, but it was all set up, wasn't it?
"He does always score [against Leeds]. He scores against many other teams as well and and It was a typical Thierry Henry goal.
"He's done that to many teams over the years."
Grayson nevertheless found plenty to be optimistic about in his side's performance.
"Some of the young kids come out with a lot of praise tonight," he said.
"It shows the players can handle the big stage and the big games.
"We've showed we've got a good temperament and hopefully it will stand us in good stead for the rest of the season."