Les Bleus laboured to a 9-8 victory as three Morgan Parra penalties saw them home at the expense of a Wales team whose captain Sam Warburton was sent off after just 18 minutes.
The All Blacks have been installed as overwhelming favourites to land the Webb Ellis Trophy at France's expense next Sunday, support highlighted by yesterday's impressive 20-6 semi-final victory over Australia.
But Henry believes New Zealand must be prepared to encounter a fierce examination.
"It's very important we come down," he said. "It was a huge game (against Australia) on the weekend - we can't stay up there.
"We've got to come down, get to base again, have a clean sheet of paper and build again for this Test match on Sunday against the French.
"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 have had some great Test matches against the French during the last eight years, starting with that Paris Test in 2004 (New Zealand won 45-6).
"It was a game that put a lot of these young guys on the map, and a lot of them now have played 70, 80, 100 games for the All Blacks.
"But in 2007, after beating the French by 50 points or thereabouts in a game prior to that, we got beaten by them in the (World Cup) quarter-final. That's the reality.
"There is history in All Black-France Rugby World Cup games. Outside of that, apart from a Test in Dunedin, I think we've won every game.
"So we've won every game in France and lost one game at home over the last eight years to the French, and lost a World Cup quarter-final, which was the most bizarre game that I've ever been involved in.
"There is a lot of history there. The boys respect the French team, they've got a lot of very talented players and it will be a good final."
The dust, though, has yet to settle on New Zealand's triumph against Australia, a game they dominated on the back of an early Ma'a Nonu try.
Henry added: "It was a pretty heroic performance and everyone contributed to that. There was a real edge to everybody's game.
"The Australians are a very good side, and they've got players who can cut you to pieces. They've got world class players in the backs, particularly.
"If you give them a chance, give them some space, they can take advantage of that, cut you to pieces and win rugby games against the odds."
Henry has also given his backing to the appointment of 33-year-old South African referee Craig Joubert, who will take charge of Sunday's final.
"He is a very good referee," Henry said. "I think he's a referee who relates well to players on the field.
"He is very clear on his instruction, he has a lot of composure out there. He's developed as probably the top referee, or one of the top referees, in the world over the last three or four years.
"It's pleasing because the players enjoy playing when he is refereeing, and that is a sign of a good referee.
"He's cool out there, he communicates well and makes good decisions, which is critical."
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