The French limped past Wales 9-8 in the semi-finals on Saturday, failing to record a single try despite their opponents playing the majority of the game with 14 men after Sam Warburton's controversial sending off.
However, Henry is wary of the threat posed by Les Bleus, despite their unconvincing displays in the tournament thus far.
"Although they didn't play particularly well in their semi-final, we know they've got the ability to play outstandingly, and they have done that in the past.
"The French team, they can be the best in the world on their day."
The All Blacks reached their first World Cup Final since 1995 by beating rivals Australia 20-6 in Auckland on Sunday.