"We want to make a statement at the end of tour," said Henry.
"We want to finish on a high with a good performance and the team get the chance to create their own piece of history with a grand slam.
"Wales have been playing really well and they always raise their game against the All Blacks.
"They are a good side and four out of the tight five are first choice for the British & Irish Lions as well as their half-backs.
"Wales should have beaten South Africa, but a bad ten minutes cost them the game.
"I have had some good times coaching in Europe, I have fond memories and I am proud of what I achieved up here."
Henry has named a starting XV which features five changes from the side that beat Ireland 38-18 last weekend.
Keven Mealamu returns for the Tri-Nations champions from his two-match suspension, while Brad Thorn returns from injury and will win his 50th cap at the Millennium Stadium.
Isaia Toeava, Jimmy Cowan and Sonny Bill Williams all start in a formidable looking line-up.
"The team know they will face a passionate physical Welsh team, playing in front of a sold-out Millennium Stadium, so are under no illusions about the massive job ahead."
New Zealand team:
Muliaina, Toeava, Smith, Bill Williams, Gear, Carter, Cowan, Woodcock, Mealamu, Franks, Thorn, Whitelock, Kaino, McCaw (Captain), Read.
Replacements: Hore, Afoa, Boric, Braid, Ellis, Donald, Nonu.