Wales are three points clear at the top of qualifying Group B with four games remaining after beating Belgium 1-0.
Henry thinks Wales should be inspired by Euro 2004’s shock champions Greece.
“They have an amazing chance to qualify. Look what happened back in 2004. Nobody expected Greece to win it but they did,” he told BBC Wales Sport.
“If they do manage to do it [qualify], then they need to go to France with the mentality and desire to win the competition.
“Otherwise they might as well stay at home and not bother qualifying.”