The win enabled the Champions League finalists to finish fourth and heralded an all-night party at the ground they are leaving after 93 years.
The victory lifted them above north London rivals Tottenham Hotspur, who lost 2-1 at West Ham United after a food poisoning episode in the Spurs camp.
Manchester United made sure of second place and automatic entry to the Champions League with a 4-0 home thrashing of Charlton Athletic, leaving them a point clear of Liverpool, whose 3-1 victory at Portsmouth was in vain.
Champions Chelsea signed off with a 1-0 defeat at Newcastle United.
With the title, UEFA Cup and relegation places already decided, the day began with only two issues at stake - the battles for second and fourth place.
Arsenal made the first move in the eighth minute with a close-range Robert Pires effort.
BIZARRE GOAL
Wigan equalised two minutes later through Paul Scharner and took a 33rd-minute lead with a bizarre goal when David Thompson caught out goalkeeper Jens Lehmann with a 35 metres near-post free kick.
Arsenal hit back within two minutes as Henry sprung the offside trap to score and the captain was gifted a second by an awful Thompson back pass.
It was fate that Henry would sign off with a hat-trick and he duly did so from the penalty spot in the 76th minute after Andreas Johansson had hauled down Freddie Ljungberg - neither of whom had touched the ball after coming on together as substitutes moments earlier. Johansson was sent off for his brief contribution.
The win secured Arsenal's worst finish for 10 years - but enough to send them into the May 17 Champions League final against Barcelona in high spirits.
It also completed a black day for Spurs which had began badly when a food poisoning outbreak laid most of their squad low and threatened their match at Upton Park.
The Premier League insisted the game went ahead and Martin Jol was able to field a full-strength team.
Carl Fletcher put FA Cup finalists West Ham ahead after 10 minutes but Tottenham levelled through Jermain Defoe in the 35th.
FIERCE DRIVE
England goalkeeper Paul Robinson kept Spurs in it when he saved a 52nd-minute penalty by former Tottenham favourite Teddy Sheringham but he could do nothing to keep out Yossi Benayoun's fierce drive 10 minutes from time.
Manchester United had few problems chalking up the win they needed to avoid the risky qualification route into the Champions League.
They went ahead in the 19th minute when Louis Saha nodded in from a Ryan Giggs corner and the Welshman was the provider again four minutes later when Cristiano Ronaldo tucked in his low cross.
A Jason Euell own goal from a Saha cross in the 35th minute made it safe for United and Kieran Richardson capped it off with a fourth on the hour.
The only cloud over Old Trafford was over the future of Ruud van Nistelrooy, who left the ground before kickoff, apparently annoyed after discovering that young striker Giuseppe Rossi had been selected ahead of him.
Robbie Fowler, Peter Crouch and Djibril Cisse were on target for Liverpool at Portsmouth but it was not enough to overhaul United.
Titus Bramble scored the winner against Chelsea in the 73rd minute as Newcastle finished the season in seventh place.
Middlesbrough, who face Sevilla in the UEFA Cup final on Wednesday, fielded a team of 11 youngsters, 10 of them England youth internationals, and lost 1-0 at Fulham.
Relegated Sunderland ended a wretched season with a 2-1 defeat at Aston Villa that left them with just 15 points - the lowest tally ever from 20-team English league season and four worse than when they went down two years ago.
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