Henry has committed to selecting seven loose forwards for the trip, but admits to having places open less than a week before Sunday's squad announcement.
The coach takes his side to face old employers Wales in just over two weeks, but claims places are still up for grabs in Saturday's Auckland-Otago NPOC final at Eden Park.
Rodney So'olialo, Richie McCaw and Jerry Collins are all certain to travel.
Waikato duo Marty Holah and Sione Laukaki have acted as their back-up to date, but the form of a number of back-rowers this season has left Henry with a last-minute dilemma.
An extended list of forwards have made their play, including many set to feature in this weekend's Eden Park showcase.
Auckland's Jerome Kaino, Daniel Braid, Angus MacDonald and Brad Mika, and Otago flankers Craig Newby and Josh Blackie are all in the mix.
Henry told www.allblacks.com: "There's still a bit of selection requirement. There will be some interest in the weekend.
"There's a lot of loose forwards, a number of very good players are going to miss out.
"There's about a dozen (loose forwards) who could go and we can only pick seven perhaps. That's going to be difficult for some people and you feel for them."
Henry added the selection of the entire 35-man party will cause some headaches, given the varying amount of time his first-choice players have accrued in recent weeks.
Players such as Wellington duo Collins and captain Tana Umaga have played only one or two matches since claiming the Tri-Nations title on September 3.
But the likes of Auckland wingers Joe Rokocoko and Doug Howlett have been regulars for their province.
The coach asked: "We've got a challenge, haven't we? There's a two-week difference between the state of some of these guys - some will have a two-week break before playing a Test and others will have four weeks.
"There will be the need for a lot of physical conditioning for some and not so others. How we conduct our training sessions to suit those needs will be important."