The former St Johnstone boss is yet to win a league match since succeeding Kenny Jackett during the summer.
Despite the club's slow start to the season, Henry has expressed his belief that Lomas will turn things around.
"Everyone here can see what he is trying to do," Henry told the London Evening Standard.
"He has brought in his own style, he wants to play a little bit more football and I think that has shown over the last few games. It takes some time to get used to it but the signs are good.
"We understand that fans are entitled to their opinion and we have the same frustrations as them when results are not going well. Everyone is confident and we know that results will pick up."
Millwall face Derby County in the Championship on Saturday.