Henry marked his return to the Gunners by netting the winner against Leeds in the FA Cup tie at the Emirates Stadium on Monday night.
Los Angeles Galaxy striker Keane has linked up with Villa until the end of February and is in contention to play in Saturday's Premier League clash at Everton.
The 31-year-old said: "Can I do a Thierry Henry? I hope so. It would be great to do that.
"It was written that he was always going to come back and score on his return to Arsenal.
"Good luck to him, he is obviously a legend at Arsenal.
"If I can do something like that in the six (league) games, and help the team, that is great."
Keane is aiming to start against the Toffees after two weeks full training with former club Tottenham and now Villa.
He said: "Of course, every player wants to be starting, I'm no different.
"I'll be trying my best to make a big impact and help the team push forward up the table.
"If I can pass my experience and knowledge on to the younger players and help this team, then great."
Keane came close to joining Villa 13 years ago from Wolves only for a late transfer hitch saw him instead head to Coventry.
He said: "It was fairly close. There were talks going on and then I joined Coventry.
"There has been speculation between me and Villa over the years. Every transfer window, it seems to talks about me signing for Villa.
"I never ever came really close to be honest. But I'm here now and want to do well."