The Seagulls won 2-1 with goals from Lewis Dunk and Glenn Murray as they moved up to tenth in the Premier League and inflicted a fourth successive defeat on the Gunners.
Henry was asked on Sky Sports if he was surprised by Arsenal's defeat and he said: "No. I expected it unfortunately and that's the thing that bothers me the most.
"I'm trying to be as honest as I can here and I would kill to come in here and praise Arsenal.
"Did I expect us to win at Brighton? No.
"Did I hope? Yes.
"So am I surprised? No, because I expected that."
Fellow Sky pundit Jamie Redknapp then added he cannot see things improving at Arsenal while Arsene Wenger is manager. He said: "I feel the race is run with Arsene Wenger.
"Anybody can do better than what they're doing now. It can't get worse than this.
"Thierry is saying he wasn't surprised they lost to Brighton. Can it get worse than what it is?
"They could go and get (Carlo) Ancelotti or someone to come in as a stop-gap, give it to Steve Bould, give it to Thierry, They are not going to be any worse."
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