Quite how Ireland, England or Scotland - New Zealand's opponents during the next three weeks - go about achieving such a feat though, is difficult to comprehend.
A first successful Grand Slam tour since 1978 is surely the coveted prize Henry's men will take home with them later this month.
British & Irish Lions tamer Dan Carter sparked the Bonfire Night pyrotechnics, kicking superbly and putting fizz into an All Blacks back division that resulted in wing Rico Gear scoring three tries.
Wales, in contrast, never got out of first gear as their eight-Test winning sequence came to a grinding halt, with Carter amassing 26 points during an 18th successive All Blacks victory against the Six Nations champions since 1953.
The All Blacks juggernaut now heads for Dublin, but although it appears to be an unstoppable machine, Cockbain has offered Wales' Six Nations rivals a glimmer of hope.
"New Zealand are number one in the world, and rightly so," said the Wales lock.
"Everyone is going to have to do their homework to try to beat them, but they are definitely beatable.
"From our point of view, we gave away the ball too much, but it was always going to be difficult for us with only five days' preparation."
While Wales, even with a much-changed side, should overpower Millennium Stadium visitors Fiji on Friday night, South Africa and Australia could easily compound Welsh misery when they arrive in town later this month.
In the meantime, Wales have to pick themselves up off the floor, even though injured Lions Gavin Henson, Tom Shanklin and Gethin Jenkins will remain absent throughout November.
"We couldn't get an attacking platform," said centre Mark Taylor.
"They had the majority of the ball, and you can't defend against them if they've got the majority of the ball because they've just got too many great players.
"Once they get on a roll and start off-loading runners, it's very difficult. It was very tough. They had possession and territory - they are a great side.
"We are very disappointed with ourselves because we didn't get our game going. Great side that New Zealand are, it was our mistakes early on that fed them. We didn't really test them.
"Once their tails are up, New Zealand are probably the best team in the world at putting sides away.
"We under-performed, and we've got to look at that. We had limited ball, and what possession we had, we didn't use very well," he added.
"We've got to get the fine-tuning right. The commitment and desire were there, it's just that we were off our game, but it is something we can put right. We've done it before, and we have got to do it again."