However, captain Richie McCaw declined to accept one.
Reports in New Zealand say 30-year-old McCaw, who lifted the trophy in October, told Prime Minister John Key he felt he was too young to be known as 'Sir Richie'.
"He is still a young fella and he has a few years ahead of him. He will probably feel uncomfortable about that (a knighthood) when he is captaining the side and still playing rugby," Henry said of McCaw in the New Zealand media.
Of his own honour, the veteran coach, who has since stepped down from the position, added: "It was a hell of a shock. It makes you feel very uncomfortable, but humble as well."
Martin Snedden, a former Test cricketer who was in charge of the company that organised the World Cup, was made the Companion of the New Zealand Order of Merit.
Gilbert has released a new line of rugby cleats. The Gilbert Virtuo 8S is part of the exciting new product. Check it out.
The entire All Blacks apparel line has been updated for 2013/14. Check out the New Zealand All Blacks polo.
The Nike Tiempo is a solid rugby cleat and one of few styles still made from full-grain natural leather.
The Gilbert Blitz 8S rugby cleat is a great cleat at a great price of $69.99. Get a new pair of cleats today.
A cool looking all black rugby cleat with the high performance adidas is known for. Get in the Gear!
Wear the crest of the British and Irish Lions on your t-shirt. A great look for the summer.
The All Blacks Performance t-shirt is black with hints of blue from the training jersey. Very Cool.
The New Zealand All Blacks training jersey for 2013/14. Get in the Gear!
The USA Rugby Pro Alternate rugby jersey is perfect for any fan of the Eagles. Get yours to wear during the summer Test matches.
The NEW All Blacks 2013/14 jersey has arrived at World Rugby Shop. Dare to wear the colors of the All Blacks.