Despite being the world's top team for several years, New Zealand have not won the World Cup since 1987 when they beat Sunday's opponents France.
But with Les Bleus struggling for form and the All Blacks fresh from a thoroughly convincing semi-final victory over Australia, they will never get a better chance to lift the Webb Ellis Trophy.
"I've been with a lot of these guys for a long time, and although they may be ranked the leading team in the world, they've never been world champions," said head coach Henry, who steps down from his role after the final.
"It would be just marvellous to have that title because they've had every other title that is going in rugby apart from this one.
"So for (captain) Richie McCaw and the boys I think that would be fabulous. I think they are good enough, and that would be the icing on the cake."
Henry has predictably retained the side that crushed Australia five days ago. The only switch is among the replacements, where flanker Adam Thomson has recovered from an ankle strain to take over from Victor Vito.
The team contains a total of 708 caps, and they will start as red-hot favourites against a French side they have already beaten in the tournament's pool phase.
The All Blacks back-row of Jerome Kaino, McCaw and Kieran Read will play their 21st Test together, breaking the previous New Zealand-best held by McCaw, Jerry Collins and Rodney So'oialo.
And hooker Keven Mealamu wins his 92nd cap, joining Sean Fitzpatrick as the most capped New Zealand hooker of all-time.
Henry added: "This is our 12th Test match in 14 weeks. I don't think that has ever happened before, so it's pretty demanding, the constant rugby and the toll that takes on the body and the mind.
"This French team, we are not sure who is going to turn up, quite frankly, so we have got to prepare that they're going to be the best in the world.
"They have certainly got the individuals to do that, it's just whether they can produce that as a side. All the word is that they've prepared well and they are very focused and they are enjoying the underdog tag.
"They feel that they are not being considered in this final by a lot of people. We don't think that. We think they're a very good rugby team.
"Their forward pack is probably as good a forward pack as we will play in this competition. Their scrum is very, very good, they've got a world-class loose forward trio and they have got backs who can bite you."
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