The Midlands club's fate was sealed on Sunday with a 2-0 defeat at home to Manchester City.
"I think for us the writing has been on the wall for a few weeks, but for it to be confirmed it's gutting for all concerned for the club," said Henry.
"The players, we all hold our hands up. We've just not been good enough this season and I think there's nothing else we can say other than that.
"We've come up short this year. We got promoted. We won the Championship a few years ago and we stayed in the league twice though hard work and team spirit. This year we weren't good enough."
Wolves gained promotion to the top flight in 2009.